Your error message says missing short cut. I'm not sure how you managed go generate a short cut, but you're going to need to get out of the menu system, get into file explorer, find and move or do what ever you need to do with your received file.
You can find the FrostWire download folder by going to Tools>Options and looking at the Torrent Save Folder name. This is where your torrent data is sent to. Start explorer, navigate to that folder and find your file.
I hope that gets you on the right track.