Yep, Lifeforce is right. In order to be a true cold approach:
1.) the girl must be completely new to you, no friends knowing her, or knowing you, nothing.
2.) it can't be in a place where you might "accidentally" run into her, or that is meant for approaching, like a party or club.... come on, those are the easiest placest on earth to pick them up, with the easiest women too. You can't have already been sitting next to her like in a class or something either. Usually it is in an everyday setting where an approach is less common.
If you break either of these two "rules," it is not a cold approach, it is merely talking to someone you already had easy access to.
The college campus, the mall, a store, at sporting events, and well, I suppose a club too if you approached a girl there, would all qualify as cold approaches.
And as to the point about cold approaches having less success rate, that is absolutely true, mainly because most guys can't do it well, and then because some women are less receptive to them. If you do it right and build rapport so she doesn't think you're a weirdo, tease her so she doesn't think you're some niceguy AFC like everyone else, and then have the confidence to get the #, you should be fine, but like anything in the world of women, there is a fine balance.
And oh yeah, most people never really try to make new friends, they just build off people they already knew or meet new people with similar interests that they see quite often (like in sports or something). The social skills of the average person are overrated, esp. by this board, and leave MUCH to be desired. Stop acting like *most* guys in this world know what the hel-l they're doing or have balls of steel... they don't. Most guys DON'T meet girls doing cold approaches. Most guys meet women through their social circle somehow, through social settings, like parties/clubs, or meet women they have EASY access to in classes, sports, or some other interest they have in common.