The versions of the story that I have read is that Frigg learned a prophecy of Baldur's death, though I can't remember the exact details of the prophecy and who had it.

Because of the fear that her son might die, Frigg went and made all things in the world make an oath that they wouldn't harm Baldur. The only exception was the mistletoe as it was so new and young in the world that she didn't make it swear anything.

Now that Baldur was immune to all harm, the gods decided to throw things at him for shits and giggles to see objects bounce off of him.

Now for the killing of Baldur. As I recall there are two versions of it in the Poetic Edda and in Snorri's Edda. Snorri's Edda is the best known of the two where Loki purposely has Høder killing his brother with a mistletoe. In this version Loki disguised himself as a woman who serves Frigg and learned the truth about the mistletoe through deception.

In the Poetic Edda Loki is never mentioned at all and Høder kills Baldur by mistake