Not sure which version frostwire (FW) you're using. However if you're using FW4, you cannot drag & drop them from the FW Library window. You will need to use the Explore button; from your FW Library window, select Saved Files or Shared folder & press the Explore button. Sample image here:
Using Library Explore button to access downld folder (click on link) & the folder will open up for you. (Sample is LW 4, but same applies.)