King Frozenwind is a servant of Grenth who summons forth the Ice Elementals that act as Grenth's Palace Guard. He can be found in the Ice Wastes. For him to appear, you have to take the Servants of Grenth quest from the Reaper of the Ice Wastes who spawns near the statue of Grenth. Take care not to let any monsters come near King Frozenwind. If he dies, your party will be kicked out of the Underworld.