If you are installing FrostWire Plus from outside of the Google Play Store (or any application for that matter), your phone might try prevent you from installing it.
You would see this:
'For security, your phone is set to
block installation of apps
obtained from unknown sources'
To Fix this:
Tap on Settings -> Security -> Device Administration check the box next to 'Unknown Sources' then go back and continue with the installation.
If you loose the shortcut to the .apk in the Notifications window, you can either download it again, or try to find the .apk in your Downloads folder using a File Explorer like File Commander, but any similar one will surely open the .apk file as well.