1. You cannot keep him, he is not your horse.
2. Nothing, Frost doesn't just disappear into thin air, he probably goes to the farm to work for farmer Harris, and plough his fields, and his 17 year old Horse Fetish Daughter.
3. Frost will be too busy nailing a 17 year old slut, no you cannot get him back.
4. No, stop asking questions about useless fucking horses.