How do you say in Spanish frozen or rocks margarita?

The answer can vary from place to place in the Spanish Speaking World:

Margarita helada is Frozen Margarita

Margarita con hielo is Margarita with ice (on the rocks)

Some places "On the Rocks" (drink with ice cubes) is translated directly to "Sobre las rocas" (over the rocks) or "en las rocas" (in the rocks).