I think Frostwire is a Torrent client.
A torrent is a file type that directs it's client to another computer (or computers) on the internet to allow for peer-to-peer file downloading. It's most used to stealing music, video, and apps, although to be fair it *could* be used for legitimate purposes...
You find a torrent file online and Frostwire will open it and start downloading files IF the other computers can be found and still offer the file.
I've use BitTorrent myself.
I recommend discretion and some good virus scan and spyware scan software to be used in conjunction.
But you know, a quick google search would have given you this information.