http://www.wowwiki.com/Frostmourne
When Ner'zhul was transformed into the Lich King by Kil'jaeden, his disembodied spirit was shackled to a magical suit of armor as well as the runeblade Frostmourne, and trapped within an icy tomb called the Frozen Throne. Both the armor and the blade were crafted by the Nathrezim[1] for the purpose of containing and controlling the Lich King.[2]
Ner'zhul's Plan to Escape
Ner'zhul was not content with being a pawn for the Burning Legion, however, and began working on a plan for escape. The first stage of his plan was set in motion when he used his powers to push Frostmourne through the ice and out of the Frozen Throne, and plunge it into the snows of Northrend to await one who would claim it and become the Lich King's agent. Ner'zhul found his agent in Arthas Menethil, the young prince of Lordaeron who had come to Northrend in a quest to end the plague.
http://www.wowwiki.com/Lich_King
When Ner'zhul attempted to escape Draenor, he was immediately apprehended by the demon lord Kil'jaeden, who enacted the blood pact that Ner'zhul had sworn to years earlier. Kil'jaeden ravaged and destroyed his body, but kept his spirit alive and encased it in a block of ice from the Twisting Nether. Kil'jaeden granted him increased power, including that over death itself. Ner'zhul ceased to exist, and the Lich King was created.
Yogg has nothing to do with Frostmourne. Yogg is not Terenas. Him seeing the future is more believable. Yogg is the god of Death, not Undeath. Yoggy gets off on causing all kinds of death. The Lich King gets off (with a little help from rigor mortis) on creating slaves from the deceased. Other than the fact that Yogg didn't exist in lore in WC3 when the revenants guarded Frostmourne, if they truly are servants of Yogg, it's more plausible that they were guarding it to prevent someone from taking it because of the huge threat it would pose since Yogg can supposedly see the future.