The 49-year-old South African birdied four holes out of five in the middle of his round and collected another at the last.
Bjorn birdied three holes in succession from the 14th and also the last for his 66, while Dougherty pitched brilliantly to 2 feet from an awkward position off the final green for a birdie.
A stroke behind were Pablo Larrazabal ' who had a hole-in-one ' Taco Remkes and Fabrizio Zanotti.
Both captains for next years Ryder Cup were on the 2010 Course at Celtic Manor, with Colin Montgomerie shooting a 69 and Corey Pavin a 72.
Frost, who will play on the Champions Tour in the fall, is not a long-ball hitter.
I have to rely on my short game and when a golf course comes along which suits me, the short game definitely helps, he said. You try and play strategic golf, chess golf, out here.