BusinessBalls.com has a good article on how to do cold calling:
Cold calling typically refers to the first telephone call made to a prospective customer. More unusually these days, cold calling can also refer to calling face-to-face for the first time without an appointment at commercial premises or households. Cold calling is also known as canvassing, telephone canvassing, prospecting, telephone prospecting, and more traditionally in the case of consumer door-to-door selling as ‘door-knocking’.
More often, I’m annoyed with cold calling.