What is the difference between a frappé and a milkshake?

Generally, a frappé is made with ice - either crushed ice or ice cubes blended with the drink ( fruit juices or milk-based drinks) and a milkshake is made with ice cream. Of course, there are variations on both, but that's the basic difference.

What is the difference between a coffee milkshake and an iced coffee?

A coffee milkshake is a blended drink with ice cream and milk flavoured with coffee, whereas iced coffee is generally coffee (with or without milk) poured over ice.