It is highly recommended that you use a mod manager, such as the Nexus Mod Manager, if you are not a Steam Workshop user.

To install the mod manually (Not Recommended!), extract the contents of the archive to SkyrimData.
Now might be a good time for you to scroll down to "STARTING FROSTFALL" for ways to start the mod in-game, read the FAQ, or swing over to the Compatibility page. Frostfall is made even better with complementary mods!