Is it wild caught or captive raised?
Is it already eating frozen?
If it is captive bred, it should have been trained to eat frozen mysis.
If it is wild caught, you will need to feed it live brine shrimp, and then work very very hard to train it to eat frozen.
For captive bred, frozen mysis is the food of choice. I feed mine frozen mysis supplemented with Zoecon with occasional frozen krill, or spirulina or omega-3 enhanced brine.
If wild-caught, it will need live food. The problem is that brine shrimp aren't too nutritious and training to switch to frozen is notoriously difficult, so most wild-caught seahorses don't live too long.