I haven't cooked, or more specifically grilled fish, outdoors but I have grilled, broiled, roasted, and pan fried it indoors with pretty good success. If you plan on grilling it though you need to go with a fish that is firm enough and sturdy enough to hold up to grilling, such as a salmon or tuna, or for a white fish something like a "chilean sea bass" or a thick piece of haddock would work well.
Pretty much all cooking methods mentioned above are pretty straightforward, brush or rub down the fish with some oil and season with whatever you like. On a salmon, I like something like a garlic pepper seasoning along with some dried rosemary. On haddock, I just hit it with some salt, pepper, and paprika, then brush it with some melted butter right after it's done cooking.
One of my favorite ways to make fish is to broil it, but you have to keep an eye on it and watch out for flare ups from the oil under the broiler. If you happen to be lucky enough to have a salamander (it's an open face broiler, often found in restaurants), it's even easier since you can watch it cooking the whole time.
I would avoid the frozen fish though, since it's often soaked in a salt solution to plump it up, which causes it to break down the meat and make it mushy when thawed. Plus they often shrink down to almost nothing when cooked. Also, be sure to pat the fish dry before adding the oil, so it sticks to it.
If wrapping it in packets of foil, also try to avoid acids such as lemon or tomato which will react to the foil and leave a funny taste. They do however make foil with parchment lining on one side. I've not tried it over a grill, but it works fine in an oven. Also, non-stick coated foil should be fine too, but it's a bit pricey.