"Frequency change approved" means ATC is telling you that you are no longer required to be on contact with them, and they are "cutting you loose" to fly on your own. In other words, this phrase indicates that you, the pilot, are now authorized to leave the frequency, and don't have to talk to ATC anymore.
If you are arriving to a non-towered airport, you would typically change to a CTAF frequency (i.e., if a Center controller turns you loose to an uncontrolled field), you can find that frequency on the charts.
If you're VFR and leaving a towered airspace, you can change to any frequency you want to.
If you want VFR flight following, you'd tune up the nearest center or approach frequency (which can be found in the charts and is listed in the SI frequency window if you're not on pro mode), and ask for a VFR flight following.
In other words, when you hear "Frequency change approved," the controller will not ever tell you what frequency to change to, because they don't know. You as the pilot have discretion. In this regard, SayIntentions simulates real-world operations.
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