A party with [Friends of Friends]
You can join the party freely from the profile screen of a friend. Select [Join This Party] to join the party.
A party with [Invited Players Only]
If you are invited to a party, 
(Invitation) appears on the main screen of the Party application. Select the invitation to join the party.
You also receive invitations in 
(Messages). Select the text of the invitation message to join the party.