FrostWire searches for .torrent files from within the application (vs. other clients where usually you need to download the file through your browser and open in a BitTorrent client to download its content).
All you need to do is enter a search query in the search bar up top and select the torrent icon (the FrostWire icon all the way to the right below the search bar) to filter results to .torrent only.
Once you select a .torrent file to download, you can double click it, click on the small arrow to the left of the file or click on the download arrow below the search results to download it.
The .torrent file and all it's content will be downloaded to your computer.
You can also download partial .torrent files = select which of the files the .torrent file is refers to you would like. In this case, you don't have download all it's content.
See 'How can I download few selected files from torrent package?'
If you already have the .torrent file and you would like to download its data, you can just open it by going to File > 'Open .torrent or Magnet' and FrostWire will start downloading the data files for