Improving efficiency of Prim's Algorithm
Single responsibility principle  

The primMinimumWeightSpanningTree() is clearly doing to much.
It is  


finding the minimum node  
updating values in the freeMap 
displaying the result  


You should extract the finding of the minimum node to a separate method. Also replacing the else with an else if will save one indention.  

private Node getMinimumNode(Map&lt;Node, Integer&gt; freeMap){
    Node minNode = null;

    for (Map.Entry&lt;Node, Integer&gt; entry : freeMap.entrySet()) {
        if (minNode == null) {
            minNode = entry.getKey();
        } else if (entry.getValue() &lt; freeMap.get(minNode)){
            minNode = entry.getKey();
        }
    }

    return minNode;
}  


To be able to display the result outside of this method, we need to return a Set&lt;Node&gt;.
So let us refactor   

public Set&lt;Node&gt; getPrimMinimumWeightSpanningTree(Map&lt;Node, Integer&gt; freeMap) {

    Set&lt;Node&gt; mstSet = new LinkedHashSet&lt;&gt;();
    while (freeMap.size() &gt; 0) {

        Node minNode = getMinimumNode(freeMap);

        freeMap.remove(minNode);
        mstSet.add(minNode);

        /* update values of adjacent nodes in freeMap*/
        for (Map.Entry&lt;Node, Integer&gt; entry : minNode.neighbourerList().entrySet()) {
            if (freeMap.containsKey(entry.getKey())) {
                int value = freeMap.get(entry.getKey());
                if (value &gt; entry.getValue()) {
                    freeMap.replace(entry.getKey(), entry.getValue());
                }
            }
        }
    }

    return mstSet;
}  


and add a method for displaying  

Public void displayResult(Set&lt;Node&gt; mstSet){

    for (Node node : mstSet) {
        System.out.print(node.getLabel() + " ");
    }

}  


You can also think about overriding toString() so you can decide outside of the class, if you want to print to System.out or e.g write to a file.  

Style  

Comments are useful, but only if they tell why something is done. So telling what is done, where it is clearly visible like  


freeMap.remove(minNode); /* remove minimum node from freeMap*/
mstSet.add(minNode); /* add minimum node to MST set(mstSet)*  



these comments are just useless and should be removed.