What did Herod Do when he realized the wise men did not return and tell him where Jesus was?

He ordered the slaughter of all children 2 years old and under. Herod the Great was brutal when it came to protecting his throne. He even killed two of his own sons he thought were a threat to him.

Source: Matthew 2:16-18

Why did the wise men return to their country by another way?

God warned them in a dream no to return to Herod. Wise men or Magi were adept at dream interpretation. See the book of Daniel.

Source: Matthew 2:12

We know what Gold is but what is Frankincense used for?

It is incense used in worship. By Jews and other religions.

Source: Exodus 30:34-38

After Herod’s advice they went to Bethlehem to seek Jesus. Where did they find Jesus?

They found him at a house. Mary and Joseph had left the stable by then.

Source: Matthew 2:21-35

The Wise Men first went to the Capital Jerusalem. What was Herod’s reaction when the wise men asked for the King of the Jews n Jerusalem?

He was troubled. Herod was a King installed by Rome. Jesus could trace his lineage to King David. This would have made him a threat to Herod.

Source: Matthew 2:3