One of the trickiest parts of DLC is figuring out how to access it. Some games have alternate modes, require a quest, start the second you load and so forth. Horizon Zero Dawn is a lot more subtile.
To access The Frozen Wilds, simply open the map and look at the top right. There should be a new unexplored area, which you can now access. To get there, travel to the nearest campfire and progress up the mountain. Once you’re in the area you’ll start getting new dialogue and quest.