I think the OP wants to know what to do with Frost.
You have to take Frost to Louis Letrush (the guy who gave you the quest). He should be near by the Black-Briar Lodge (where you stole Frost).
Ah. If you want to have have it as your permament follower you need to follow steps listed in this article. If not, DragonGirl said it all.
i wabbajacked frost getting mehrunes razor while fighting the 2 dremora