Being an older application, FrostWire 4 is not signed (or properly) by the developer (or expired.) Thus you need to make an exception to run the program, possibly both the installer and then the FrostWire application itself.

In the Windows warning message, there will be a difficult to see option that allows you to run the application anyway as an exception (I think it's bottom of the popup window.) I noticed this on Windows 10 recently.

There is a chance you also have security software that is preventing the app from opening. Frostwire would need to be put on the exception list should that be the case.