The official site for downloading FW is
FrostWire.com » Official Website & Free Download, BitTorrent « FW is free...you don't have to use LW to download it
So, first of all, if you downloaded the FW installer from LW - get rid of the version that you have now (start > all programs > FW > use the uninstall option there) & download one from the official site.
If the new version doesn't connect, try the tips here:
If LW Will Not Connect
That thread refers to LimeWire, but should be the same for FW. If nothing there helps, post back with your system details.