OK, I had to go into my frostwire to check. Click the library tab and then on the left side click on individually shared files, that should bring up your song list in frostwire. Pick the song you want and then just hit the play button at the bottom of the frostwire page (I just tried it and it worked fine). Not sure why the songs went into Itunes, I had to manually put them into mine.
I am leaving for the day (no internet at home) but I'll be 'here' tomorrow if you need me.