Cohesion is defined as the "sticking together" of particles of the same kind of substance ("co" = together).
Surface tension is a result of cohesion. Surface tension is that "film" that resides on top of a liquid. Surface tension is what allows waterbugs to walk on the surface of water. Surface tension is due to the attraction of the particles to one another (cohesion) at the surface of a liquid and, thus, minimizes surface area.
The stronger the intermolecular forces (forces between molecules, "inter" = between), the greater the cohesion of the substance. Water has strong intermolecular forces called hydrogen bonds. Hydrogen bonds are due to the electronegativity differences between oxygen and hydrogen. Oxygen is more electronegative, so it pulls the electrons closer to itself. This results in the oxygen within a water molecule being slightly negative and the hydrogens being slightly positive. Since opposite charges attract, the hydrogen on one water molecule attracts the oxygen of another (this is the hydrogen bond). The electronegativity differences in rubbing alcohol, CH3-CH(OH)-CH3, are smaller. This is partially because the molecule is more symmetrical.
Thus, both substances will demonstrate cohesion. However, for the reasons stated above, water's cohesive properties will be much stronger that those of rubbing alcohol.
This phenomena is often demonstrated with the penny lab in schools.