The shell can be removed by removing the rear-most screws (behind the switches) and the front-most screws (in "steamchest" area) under the locomotive.
Opening it up is relatively easy, however the Frosty 0-8-0 locomotive has an LED headlight so there may be a circuit board/ wiring problem instead of just a burned out headlight.
Depending on how comfortable you are testing the circuit board output, tracing the wiring and/or testing the LED itself, your best option might be to retrofit an 18V grain-of-wheat wired directly to track voltage, especially if nothing obvious stands out.