Go to File > Exit. FrostWire will shot down completely.
Another useful way (in case of system freezes, for example) is to press the keys: Ctlr + Alt + Supr (or Delete). That will cause the Task Manager to open.
You then have to select FrostWire from the list of processes and click End Process.
File > Quit FrostWire (Apple + Q)
If the application is not responding, you can Option+Right Click on the FrostWire icon in the dock and select Force Quit.