Usually you bring baked cookies and exchange them. It depends on how well you know the gals. Our make ahead meal group we exchange and leave, like 10-15 minutes. Our Moms Club cookie exchange will be an all night social event.
I've never been, but my sister's stolen a few of my good recipes for them
Usually you bake a specific number of cookies (i.e. a dozen per guest) and then swap your goodies, thus leaving w/the same number but now a mix of cookies that you didn't have to bake yourself!
I have been invited to 2, one of which involves baking at the party and the other you just bring 3 dozen cookies and you sample and vote ont he best ones at the party. I think there are small prizes and everyone takes some of everyone else's cookies home
I don't think there are any rules, just have it planned out how you want it to go.
ETA - both of the above scenarios involve wine and it's a social "mom's night out" kind of thing, but at someone's house