We recommend you download the FrostWire Plus apk using Firefox (or any browser different than Chrome), as the built-in Chrome web browser will only download the installer, but it will refuse to open it (a way for Google to force people to use the Play Store for installing apps).
In that case, check that you have installed the app "Android Package", "Package Installer" or any other similar app to properly install .apk files aside from Google Play (see your apps on your device Settings > Apps > All to verify).
Then go to your device Settings and "Clear defaults" of the Play Store, it usually comes configured to open all your .apk files by default. To do this:
a) Go to your Settings > Applications > All
b) Select Google Play Store
c) Click on the button "Clear defaults"
After that go to the folder "Downloads" and try to open the file FrostWire-android-Plus-release-(version).apk again, you should be able to install FrostWire with a different installer than Google Play Verification.