I have always wondered how much information these high-born ladies had regards sex. I know the men were well-versed on the topic, but for an upper class woman and members of the royal family being married off for money etc, would they have known the basics of sex and what to expect on their wedding nights?
My instinct is to say that it would really depend upon the individual family in question and how frank and open they were. The period in question was one of some transition with regards to society's views on sex and sexuality, shifting from an earlier period of relative candor to the development of much more prudish attitudes that define middle class society in the nineteenth century. That said, it would not have been unheard of for an older female relative to discreetly inform a young bride of what to expect, though how explicit those instructions were may never be fully known since they likely would not have been committed to writing and would have, instead, been passed from mouth to ear.
Given the emphasis placed upon conception and the bearing of children upon all marriages, but particularly those of a political nature (as most royal marriages and many noble marriages would have been), a bride might be expected to know something of what to do in order to fulfill her expected 'duties'. Moreover, it was common medical belief in the sixteenth and seventeenth centuries that in order for a woman to conceive, she must experience an orgasm during intercourse, so that it is possible that such 'facts' would be passed down to a prospective wife to prepare her as well.
I would suggest looking at G.J. Barker-Benfield. The Culture of Sensibility: Sex and Society in Eighteenth-Century Britain (Chicago, 1992) since, if I recall correctly, there's a section around page 125 or so that discusses contemporary attitudes towards female sexual knowledge.