 The accompanying music video for " Frozen " was directed by Chris Cunningham in a desert in California , portraying Madonna as an ethereal , witchy , melancholy persona , shapeshifting into a flock of birds and a black dog . The music video received a MTV Video Music Award for " Best Special Effects " in 1998 . To promote Ray of Light , the singer performed the song in several occasions including on Wetten dass .. ? . Additionally , it was included in three of Madonna 's concert tours . " Frozen " has been covered by a number of artists , such as Talisman and Thy Disease . 
