Recent polarimetric surveys of extragalactic radio sources (ERS) at frequencies u>1GHz are reviewed. By exploiting all the most relevant data on the polarized emission of ERS we study the frequency dependence of polarization properties of ERS between 1.4 and 86GHz. For flat-spectrum sources the median (mean) fractional polarization increases from 1.5% (2-2.5%) at 1.4GHz to 2.5-3% (3-3.5%) at u>10GHz. Steep-spectrum sources are typically more polarized, especially at high frequencies where Faraday depolarization is less relevant. As a general result, we do not find that the fractional polarization of ERS depends on the total flux density at high radio frequencies, i.e >20GHz. Moreover, in this frequency range, current data suggest a moderate increase of the fractional polarization of ERS with frequency. A formalism to estimate ERS number counts in polarization and the contribution of unresolved polarized ERS to angular power spectra at Cosmic Microwave Background (CMB) frequencies is also developed and discussed. As a first application, we present original predictions for the Planck satellite mission. Our current results show that only a dozen polarized ERS will be detected by the Planck Low Frequency Instrument (LFI), and a few tens by the High Frequency Instrument (HFI). As for CMB power spectra, ERS should not be a strong contaminant to the CMB E-mode polarization at frequencies u>70GHz. On the contrary, they can become a relevant constraint for the detection of the cosmological B--mode polarization if the tensor-to-scalar ratio is <0.01.