Could you post a pic? I have never heard of a wild caught H. capensis; and a captive bred one should have been eating frozen foods from the beginning.
As for training to frozen, here is a good link
http://forum.seahorse.org/index.php?showtopic=30793&hl
Also, aside from training to frozen, I would get it onto a live shrimp diet (mysis, ghost, glass, etc.) as quickly as you can, since brine offers very little nutrition.