Welcome to FT!

You need to clear immigration at FRA (you are entering Schengen). Usually this is not time consuming. Customs will take place at final destination (LUX) if you have checked luggage.

Although this transfer is tight it is not impossible. Just follow the signs; no need to ask for assistance (they will not be able to help you except pointing in the right direction). If you miss the flight to LUX you will get rebooked to the next flight or you take the train (FRA-LUX is really short distance); not the end of the world! (assuming you are traveling on 1 single ticket).