A B737 Captain on a HUD ILS approach got an EGPWS warning and discovered that the ILS frequency had somehow been changed and the aircraft was in a constant descent with zero in the altitude alert window.

Narrative

We were descending for an ILS approach to XX. I was on autopilot and monitoring through the HUD. We had glideslope capture and LOC captured in the MCP panel so I set zero in the altitude window. As we passed the marker; I picked up the buildings of surrounding city and then XX. As I was about to call the runway in sight; we got an obstacle call from the GPWS. We were visual; and I had the buildings in sight; but I unhooked the autopilot and added thrust and started a slight climb. I verbally wondered aloud to my First Officer if this maybe a false alert; but he said that as soon as we got the alert; he looked up and I was 1 to 1 1/2 dots low on the glideslope. As we continued visually to the airport; I looked down and saw that my NAV radio was not tuned to the ILS of XX. I am not sure how it was changed; or when; but because it had changed; we were in a continual descent and not on the glideslope as we should have been. I think that we were on the correct path because of the descent rate that had been established; but when we both transitioned to visual; my First Officer didn't notice we were going below the glideslope. I didn't notice the change in the MCP Panel until we got the obstacle call. We should both be more aware of what is selected in the MCP panel; and should both be monitoring the performance of the aircraft a little better. We should have had better communication about who would look for the airport and who would monitor the instruments and for how long after we got to visual calls.