First thing. Stop worrying about the damn women at the party. It's good that they're there and that you realize they are there, but they aren't what you're focused on. Second thing. Stop worrying about the dancing. The focus here is to just have fun. Anything that takes away from you having fun (nervous about talking to a girl, worried about what you're gonna say, and so on) you don't need to be doing.
One thing you were right about is how you approach. It's simple. You walk up and say "Hello/Hi/Wussup/Hey/What's going on?" The list goes on.
Anyway, after you do that, you have a conversation. This is simple too. You ask the person things that you would like to be asked. If you're into football you could ask them if they plan on going to the upcoming college game or who are they going for on the sunday NFL game. If you're into technology ask them if they've played around with the new I-Phone. The reason you do this is because these are things you already know and can talk about.
After you've asked them questions that you would want to answer, you answer your own question. If you feel the same way that they do, say the same thing they said in your own words. This shows them that you agree with them giving them them the impression that you have something in common.
There might come a time where a girl is gonna want to dance. Every watch the movie "Hitch"? There is absolutely nothing wrong with the "two step". I'm a pretty good dancer, but with girls that don't really know how to dance, this is all I do.
Also remember that there are guys at the party too. Talk to them. Whenever I go to parties, I'm a social rat. I can't sit still. I'm talking to everybody. By the time the party is over, I've had my name called a million times by people who want to talk to me (most times its the people i just met that night). This not only boosts my ego, but social proofs the hell out of me.
Hope this helps. Good luck.