A Frozen Flame is an item that is used to upgrade the Leviathan Axe. It's described as an object that impossibly have properties of both ice and fire.
Up to 4 Frozen Flames can be obtained in the game each through:
1. The first Ogre in The Foothills
2. Járn Fótr in The Mountain
3. Magni and Modi in Thamur's Corpse
4. From Chilling Mist of Niflheim obtained by exchanging 5000 Mist Echoes in Niflheim