"At the Codfish Ball" is the name of a song performed by child actress Shirley Temple in the 1936 movie Captain January (1936). This episode's title refers obliquely to the non-alcoholic cocktail (a "Shirley Temple") that Roger gives Sally to drink at the awards banquet, and even more obliquely to the episode's theme of a little girl thrust prematurely into a world that is far more adult than she is ready for.
Contains one of the most graphic, although PG-graphic, depictions of oral sex in TV history - it resulted in hundreds, if not thousands, of complaints to the network.
At about 10 minutes, Megan says her father would not care if he saw Don reading James Bond. The book he is holding is "The Fixer" by Bernard Malamud (1966) (which has nothing to do with Bond but it could just be the dust jacket and the actual book is a Bond book).