God of War Ragnarok has 8 Frozen Flame Locations. They are used to upgrade the level of the Leviathan Axe, one of your weapons. The Leviathan Axe starts at Level 1, using 8 Frozen Flames upgrades it to Level 9 which is the maximum (Level 1 Starting Level + 8 Frozen Flames = Level 9).
You can use the Frozen Flames at the Blacksmith to upgrade the axe. This also increases your average equipment level as seen in the top left corner of the Weapons Menu. The higher your overall level, the more powerful you become. Each level also increases the damage of the axe.
You get all Frozen Flames automatically while going for 100% Completion. The majority is dropped by mandatory story bosses. If you forgot to loot one, the item is automatically placed in the blue chest at the blacksmith and can be retrieved from there.
Other Weapon Upgrade Materials:
All 8 Frozen Flames
Frozen Flame #4
Reward for closing all 6 Hel Tears. Each gives a Frozen Spark, all 6 together form 1 Frozen Flame.
Frozen Flame #5
Automatic from story, can’t miss it. Dropped by a knight (not a named boss) in Mission 12: Reunion. You have to defeat him before turning a wheel to open a gate, can’t miss it. If you didn’t loot it, the item is placed in the blue chest at the blacksmith.
That’s all 8 Frozen Flames to fully upgrade the Leviathan Axe.
For everything needed to reach 100% Completion check out the God of War Ragnarok Wiki & Strategy Guide.