Access to the different sections of Grizzleheim is wizard level restricted. It is a sticky right here at the top in the Grizzleheim forum.
While you are on Baldur Goldpaw's assignment, you can use the boat behind him to travel to Grizzleheim.
Once you have completed Baldur Goldpaw's assignment, and you are over level 20, speak to Merle Ambrose.
If you are under level 20, you will need to wait until you have reached that level before you can enter Grizzleheim again.
When you are Level 25 you will be able to begin the quest Lending a Paw.
When you are Level 30 you will be able to begin the quest Full Grizzle Jacket.
When you are Level 40 you will be able to begin the quest The King and I.
Each of these quests allow access to the next (and harder) section of Grizzleheim. So, if you cannot enter Frostholm: you either aren't at the minimum level to gain entry, or you have not completed the previous area's main quest.