Hello and welcome to the wonderful world of amphibians!

It's nearly impossible to say what your frog was doing without pictures. Yes, frogs do shed their skin regulary. However, it's nothing to be worried about and it's much less stressfull and appears to be much "easier" than for a snake, for example.

Here's a high quality video of a dumpy tree frog shedding. Turn on 1080p, fullscreen and enjoy!
White's Tree Frog shedding (HD) - YouTube