How to effectively drain frozen vegetables?
You can't drain them while they're frozen.  If you need to use them quickly, consider thawing them in the microwave, then draining them.

As for how to drain them, it depends on the type of vegetable.  Greens like spinach should be squeezed out.  Chunky vegetables should be drained in a colander and then dried with a towel.

Some of the water you get may be coming from inside the vegetables, though, in which case it's still going to come out only when cooking.  In that case, the only solution is not to overcrowd the pan.