Open FrostWire, go to Tools > Options > Library
Note all the folders your current FrostWire's Library is indexing.
Select Add > Pick a file or a folder you would like to ad to your Library and click OK.
FrostWire will not scan this folder for you and add all the files in it into our Library. If you ad a file into that folder, it will rescan it and add it to your Library as well.
TIP: Go to Tools > Options > BitTorrent and make sure your Default Download Folder is on the list. If not, add it too if you would like :)