Shouldn't keeping a colored frame in front a flash light ( white light ) change its wavelength or frequency?But I have also learned that light doesn't change its frequency when going from one medium to another.
White light does not have a wavelength, it has all wavelengths. That is your first cause of confusion. The colored frame will only allow one wavelength to pass through, as the comments suggest. If that wavelength is not present in the original source nothing will pass through.
As for changing frequency or not, when light passes through a material the frequency of oscillation is not affected. The wavelength is changed and that change is indicated by the index of refraction. This index is the ratio c/v, where c = speed of light in vacuum and v = speed of light in he medium.
To completely understand what happens requires a bit of thinking about the processes that occur in the medium, either with a classical or quantum model of the medium. I'll do the best I can in a short blog post like this.
In the classical description light is made of oscillating electric and magnetic fields. When they hit an object they induce some motion of the particles within the material. These oscillations then emit more electric and magnetic fields at the same frequency. Why the same frequency? Because the response of the medium to the incoming EM fields is linear. In a non-linear material you can excite different frequencies of light! This is done all the time in laser systems and is called "harmonic generation". This doesn't happen with ordinary every day colored plastic, which is used as a filter. There is a time delay for the light traveling in the medium. If you think about our current understanding of matter most materials are EMPTY SPACE! so you'd think that the speed of light is still c, and it is. When we measure the speed of light in a material we are looking at a macroscopic effect and ignoring the micro processes. There is scattering, absorption and re-emission of light all of which "slows it down". The wavefronts of the classical EM field are required to be continuous. This constraint leads to a condition known as snell's law of refraction. The wavefronts are squeezed together and required to line up with a wavefront at the interface between the material and empty space. This causes the direction of travel to bend. All of this (and more) is happening when light travels through a medium.
A colour filter does not change the frequency of light. It changes the colour of wide band light by absorbing certain frequencies and passing others.