My first thought is... avoid frames if at all possible. Use another technology, perhaps PHP, or AJAX, to pull in the data from the other website. Because frames...
1) Wreak havoc with the web browser's Back button and site navigation in general.
2) Confuse the robots and spiders and search engines.
For anyone else who ran across this question during a search because they're considering using frames in a situation that does NOT require accessing an external sites, if you don't have access to a web technology like PHP, then have a long look at Dreamweaver's template system before resorting to frames.
That said, here are a few tutorials. The actual methods will vary slightly from one version of Dreamweaver to the next, especially those older than the MX series. The concept, however, remains the same, as does the actual HTML code.