Inspector Jack Frost Received the George medal when and where?

This is briefly mentioned in one of the books. Can't remember which one (read them all back to back). As far as I can remember it was after his wife had died and he was feeling suicidal and just walked into a house where a hostage situation was going on. He gets shot, but manages to play a key role in diffusing it in the process. For that act he gets the medal.

As has been said, it was never in any episode. In both the novels and the show, it took place before Frost's wife died (and before the Tracey Uphill/skeleton storylines of the first book and first episode). The novel, "Frost at Christmas", goes into much more detail than the pilot episode, "Care and Protection", but basically what happened was a drug addict held up a bank and had a woman and child hostage, and Frost advanced on him and was shot for his troubles, and awarded the medal afterwards for saving the hostages and subduing the gunman. In the novel, Frost did it because Mullett was about to have him suspended and he was desperate to save his career, and also desperate to save the woman and child. In the series, he did it because he was drunk at the news of his wife's terminal cancer. In both cases the medal saved his career and what was left of his marriage before his wife died, and would keep him out of serious trouble for the rest of his career (in the novels at least) because the prestige of an officer having the George Cross made him the Chief Constable's blue-eyed boy.