Over the past three decades, ultrashort laser pulses have been demonstrated to be a very powerful tool to investigate materials properties at the nanoscale. A key driving force is the high-time resolution required to study heat transfer across interfaces and in thin films. The Time-Domain Thermoreflectance (TDTR) is now widely used. This optical technique offers an interesting alternative to electrical approaches such as the 3ω method. We present a complete study of the TDTR signals. We investigate the influence of the modulation frequency on the measured signals and we show how this experimental parameter could be set to enhance or reduce the sensitivity to a specific thermal parameter. The dependence of the measured “apparent” thermal conductivity of the thin film as a function of the modulation frequency is discussed. Results are applied to investigate thermal properties of a series of InGaAs samples with embedded ErAs nanoparticles.