By ROBERT NOTT Cooler runnings Robert Nott I The New Mexican Frozen River, a survival story, rated R, Regal DeVargas, 988-2775, 3.5 chiles The town of Massena, in northern New York state on the Canadian border, is a bleak industrial community where the skies remain cloudy all day.

By JAMES VERNIERE "FROZEN RIVER" Rated R. At Kendall, Coolidge Corner and West Newton cinemas. Grade: B- Even the snow is depressing in "Frozen River," the latest feel- bad indie film attracting critical praise from the icy depths of blue-collar, working-class bummer-hood.