Physiotherapy, massage, and exercises
BMJ Group Medical Reference
Having physiotherapy and doing special exercises at home can reduce your shoulder pain and help you to move your shoulder more easily.     Physiotherapy can be used together with other treatments, such as injections, or after surgery.
One good-quality study (called a randomised controlled trial) looked at whether having physiotherapy helped with shoulder pain. The study found that after 24 weeks people with tendon problems who'd had physiotherapy had less pain and could move their shoulder more than the people who'd had a dummy laser treatment (placebo).  Another study found that people who had physiotherapy could move their shoulder more easily after six weeks than people who didn't have physiotherapy.  But after 16 weeks, people's symptoms had improved the same amount whether they'd had physiotherapy or not.
Another good-quality study suggested that the full benefit of physiotherapy and home exercise might take a while to develop. It found that people who had these treatments reported similar improvements after 11 weeks compared with those who had a dummy treatment (sham ultrasound therapy and an inert gel rubbed on their shoulder). After 22 weeks, however, those in the physiotherapy and exercise group had significantly less pain and better movement. 
But we don't know if physiotherapy works as well for a frozen shoulder. There hasn't been a lot of research on this.
The research doesn't say if physiotherapy can cause any side effects.
A placebo is a 'pretend' or dummy treatment that contains no active substances. A placebo is often given to half the people taking part in medical research trials, for comparison with the 'real' treatment. It is made to look and taste identical to the drug treatment being tested, so that people in the studies do not know if they are getting the placebo or the 'real' treatment. Researchers often talk about the 'placebo effect'. This is where patients feel better after having a placebo treatment because they expect to feel better. Tests may indicate that they actually are better. In the same way, people can also get side effects after having a placebo treatment. Drug treatments can also have a 'placebo effect'. This is why, to get a true picture of how well a drug works, it is important to compare it against a placebo treatment.
randomised controlled trials
Randomised controlled trials are medical studies designed to test whether a treatment works. Patients are split into groups. One group is given the treatment being tested (for example, an antidepressant drug) while another group (called the comparison or control group) is given an alternative treatment. This could be a different type of drug or a dummy treatment (a placebo). Researchers then compare the effects of the different treatments.
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