The My Music section in FrostWire is a music library. It lets you browse all your music files from your device (not only the ones downloaded with FrostWire), whether they are saved on your internal memory or an SD Card, and perform simple actions on them, deleting being one of them.
FrostWire does not import your files or store them within the app. It only reads them and displays the information on the music files for your convenience. By deleting a track from within FrostWire, you are deleting it from your device permanently.