The easiest way to find your downloads would be to go to MyFiles (inside FrostWire) and access your files from there. You can play/open, rename and share your files directly from My Files by tapping on the file itself.
If you want to know where your files are exactly on your storage, you will have to use a file manager to do that. Most Android devices come with an app called My Files, some, like Kindle, require you to download one. We found ES File Explorer (Kindle or Google Play) to be perfectly capable and free, but there are many many others to choose from.
After opening any of the File Explorer apps, your downloads will be in:
Device/storage/emulated/0/FrostWire or Internal Storage/FrostWire or SD Card/FrostWire
If you are downloading to an SD Card and your device has the new(ish) Google SD Card assess rules implemented, your downloads on the SD Card will be in:
If this is your download path, please remember that Android will delete your downloads if you uninstall FrostWire.
All downloaded files will also be deleted if you go to your phone's Settings > Apps > FrostWire and select CLEAR DATA. (Clear Data option works the same as deleting and installing your application again, hence the downloads will be deleted just like if you would reinstall the app. Clear Cache will not delete your data).
How to save downloads to SD Card