Frida is a character found in The Wedding. She needs you to find her fiance, Don Lu. Oddly, both of them are dead. She doesn't actually do much except drive the story along, but in the final level of The Wedding, Skulldozer, she goes insane and tries to run over everybody. At the end of the level she finds out everything was a misunderstanding and takes you on her honeymoon to The Canyons.
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