On FrostWire go to:Tools > Options > BitTorrent and see where your FrostWire saves your downloads. You can copy that path if it's hard to remember.
Then go to your Window Media Player and connect the folder to it's library.
On Windows Media Player go to:
Organize > Manage Libraries > Music
In the 'Music Library Locations' dialog, if you don’t see the FrostWire Default Save Folder location [this folder could you named however you decided setting up FrostWire, but as a Default it is called 'Torrent Data' ], click on the "Add…” button to locate the folder.
Press the “OK” button to save the changes and dismiss the dialog. After Windows Media Player has finished scanning the FrostWire Default Save Folder you will be able to play the files from Windows Media Player, add them to playlists or burn them into CDs.
Or Your Windows Music Player could look like below: