If you search your hard drive for a file you just downloaded and you see two exact copies in two different locations, FrostWire might be configured to sync with iTunes and iTunes might be configured to copy the files downloaded with FrostWire directly to it's own library.
Here is the logic of what's happening:
FrostWire downloads to a folder you specify for it during the installation process. If you accept the default, it's generally somewhere under your User and it's called FrostWire. Inside the FrostWire folder, there are sub-folders:
Torrents [for .torrent files].
Torrent Data [for all the content you download],
Incomplete [where temp files are store] and
From Device [where files you transfer via local Wi-Fi from your or your friend's devices are stored]
This is all FrostWire does when it comes to saving a file.
If you use iTunes and you are syncing your FrostWire downloads with iTunes, FrostWire sends the information about the files you get with it to iTunes for you to consume there and iTunes shows them in a playlist called FrostWire.
Depending on your iTunes settings, iTunes will import either only the info about the file's location so it can play the file for you or it will import the entire file and put it in iTunes library. If the later happens, iTunes is essentially creating a duplicate file to organize your Library for you and this is why you see duplicates of your downloads.