To create a frame, select New from the menu bar and then page. A dialog box with several option tabs pops up. Click on Frames Page. Select one that you like. Then you'll have a choice of Set Initial Page (which selects and existing page) and New Page.
For each page, you'll end up saving two separate pages--one the content page, and the overall frames page (it'll show you a picture of what part of the page you're saving). It is important that you set up some kind of naming convention--otherwise you'll get really confused as your web site grows. I named the content page of the frame webpage1.html and the overall frame part webpage.html.