I'm not quite sure what you mean by a frame in your XML, I can think of 2 possible explanations.
First is a browsercontrol that is a web browser inside a script window. This is documented in the schema documentation. The window can be controlled with calls using the object retrieved with Browser_GetInterface() and information about the control at
http://msdn2.microsoft.com/en-us/library/aa752084.aspx
The second thing I can think of is a child XML window, or a window within a window. This is constructed in the same way as a regular window, but one of the elements in the window properties is <ChildTmpl /> which is an empty element that replaces either of <WindowTmpl> or <DialogTmpl>. A child window can then be created on another existing parent with a call to MsgPlus.CreateChildWnd()
Hope that helps