Atif,
Just to confirm are you using FMCYFREEZEN? In this transaction you can copy any budget version to a frozen version. Once you have configured the frozen version, no other indicator or setting is necessary. You just enter parameters in selection screen (source Version and Target i.e. Frozen version). You may get an informational message regarding budget structure.
If you are getting error FMCU029 yo need to check that the correct flags have been set on the version configuration entry - Planning and Variance should be active.
Thanks
Shyam