The My Files in FrostWire is a simplified media browser. It lets you browse your local files, whether they are saved on your internal memory or an SD Card, and perform simple actions on them (whether or not you've downloaded them with FrostWire). You cannot disable this option.
FrostWire DOES NOT SHARE your files by default, in any way. It only reads them.
You can purposefully share a file from within FrostWire's My Files tab on your local Wi-Fi network or send a specific file(s) to somebody, but all your files are not being shared in any way by default.
If you have downloaded file(s) from the BitTorrent network and you have elected to seed downloaded files, these, and only these files, will be shared/seeded (uploaded to) with the BitTorrent network. You can turn this option on and off in the Preferences section under your Main Menu.