I'm sure this isn't the first person to not know that you have to thaw frozen prey, we all started somewhere.
But yes! You do need to thaw the prey thoroughly (any ice crystals left in the middle could kill the snake), and most snakes want it heated up to approximately mouse body temp (around 100 degrees f). Personally, I take the rodent out of the freezer the day before and put it in the fridge. I have cats so I can't leave the rodent out, but if you want to thaw it near the snake, only do that a few hours before, not overnight. Then I put it in a ziploc baggie---I have a bunch of sandwich bags to use up, and they're thin so I use 2. If you use a freezer baggie one should be fine---and run tap water as hot as it gets and soak the rodent in that for about 20 minutes. You might have to run fresh hot water a few times if the room temp is cold. Or use a blow dryer, but that's never worked well for me. Of course larger prey will need more thawing and warming time.
Mouse pinkies are definitely too small, she might not even recognize them as food. At that size she can take an adult mouse or a rat pup.
Read up on proper care, there's a lot of misinformation out there! Never believe the pet store people, at least until you've verified it!