The easiest way is probaly to use the windowless version of the Frame control, as supplied (but well hidden) by Microsoft. You need to locate MSWLess.ocx and MSWLess.reg on your VB CDs. Copy the ocx in the %SYSTEM% folder, then manually register the ocx through regsvr32, and finally double-click on MSWLess.reg to license the controls for the development environment.
In VB you can now add the MS Windowless Controls component to your project.