Eh, too bad they're frozen...they're really an item that should be purchased fresh, especially for your First Time.
I slice my Brussels sprouts in half, then place, sliced-side down, in a hot skillet of olive oil and minced garlic. Cover with a lid and allow to wilt and slowly tenderize for ~20 minutes (heat should be about medium, so as to not scorch the garlic and allow some caramelization). A simple dish that brings out the nuttiness of the vegetable.
I wonder if you could defrost the frozen sprouts and proceed with my preparation...? My colleague creates a "hash" with Brussels sprouts using essentially the same few ingredients as I, so I bet even if your defrosted sprouts are soft/soggy, you can sort of do the same thing. Folks also toss sliced or chopped sprouts with oil, garlic and so forth and throw in the oven to bake and caramelize.
Enjoy!