There are three common methods to use for this. You can either use coconut flour, cornstarch or potatoes. Since you are using coconut milk for coconut frosting, the best option would be to use coconut flour to thicken the milk. This ensures the coconut flavor is still intact. Using cornstarch or potatoes might alter the flavor of the coconut milk and should be used when the flavor of coconut is not very important in a recipe. To use coconut flour to thicken coconut milk, mix half of the coconut milk with coconut flour in a pan. Place the pan on the hob on low heat and add the remaining coconut milk. Bring to a boil.  Once boiled, leave to cool completely before using for the frosting.