In FrostWire go to:Tools > Options > BitTorrent and see where your FrostWire saves your downloads. You can copy that path if it's hard to remember.
Then go to your Window Media Player and add that folder to WMP library.
Press the “Close” button to save the changes and dismiss the dialog. After Windows Media Player has finished scanning the FrostWire Default Save Folder you will be able to play the files from Windows Media Player, add them to playlists or burn them into CDs.
If you have an older version of Windows Media Player, see the post below for specific directions and screenshots.