Soi Cowboy is located just behind Sukhumvit Road (it runs parallel) between Asoke Road (Soi 21) and Sukhumvit Soi 23.
Ask any taxi or tuk-tuk driver for Soi Cowboy and they will know. Alternatively get the BTS (Skytrain to Asoke Station or the MRT (Underground) to Sukhumvit Station. Soi Cowboy is around two minutes walk from both.
You can see information on the two stations using the links below. These also include good information on local hotels and restaurants etc.