Frontier using Wallet Connect to establish the connection with DApps. So that, you need 2 devices in order to use this feature.
Click on the Connect Wallet button and select Wallet Connect on the next step.
Select the network you wish to connect, let's pick BNB Smart Chain.
Now, you have a Wallet Connect QR code.
On the Frontier side, on the BNB Smart Chain wallet and open the Wallet Connect screen.
Click on the Scan WalletConnect QR or the QR buttons on the top-right to scan the QR code on the previous steps.
You will need to click Connect Wallet button to establish the connection.
The connection is established, now you can freely use Hot Cross DApps with Frontier.