Frost forms when water goes directly from a gaseous form (vapor) to a solid form (ice). This is called deposition. It is much like dew forming, but instead of the vapor going to a liquid, it goes to a solid.
To have this happen you have to have a surface area like a car, building, grass, cool to below the dewpoint and also have that dewpoint be below 32 degrees. The air contacts that surface, cools to the dewpoint and then can no longer hold the moisture it contains and you get the frost or dew to form on the surface.
-John
