Hello there, instead of dragging the file straight from Frostwire, right click it and go to explore. By doing that, it should open the folder that your file is in. Drag from the folder instead of from Frostwire itself and that should work.
Alternatively, find out what folder your downloads are in, open iTunes, go file and then either add folder to library or add file to library.
Hopefully one of these suggestions should work. If there's anything you don't understand, feel free to ask and I'll try break it down more for you.