If you delete files from the Frostwire Library you WILL delete them from your hard drive .
You can avoid this by choosing to stop sharing the file in the Frostwire library, rather than deleting them.
You may like to consider copying files to your iTunes Music Folder in iTunes Options/Preferences. You will then have 2 copies of files but you can delete the original after doing this. Your previous downloads will not be added automatically to the iTunes folder.
Do make a trial run with a few files that are not too important if you are planning to change your settings. Also consider backing up all your important files to an external hard drive, or burned as data to a CD-Rom.
If you have only recently lost any files and re-downloading them is not possible you could use the program
Recuva to try and retrieve them.