Frames are a bit harder to come by in recent versions of Word. They were
removed from the Insert menu in Word 97, and the Customize dialog
confusingly listed the command as "Horizontal." By Word 2000, the command
was back in Customize as Frame in the Insert category, so you could add it
back to the Insert menu if you use it frequently. There is also an Insert
Frame button on the Forms toolbar.
For most purposes, a text box will work just as well, but in Word versions
before Word 2007, Word can't "see" text in a text box for the purpose of a
TOC or cross-references, so you don't want to put headings in a text box if
you're going to need to reference them. Although you can create a text box
and convert it to a frame (button on the Text Box tab of Format Text Box),
it's usually easier to start with a frame. Frames have the advantage that
they can be seen (albeit not in place) in Normal view and also that they can
be incorporated in a paragraph style, making framed text easy to insert.
There's not a lot of Help available about frames; many of their controls are
similar to those of text boxes, just more limited (frames have only two
kinds of wrapping--None and Around), and their borders are applied/removed
in the Format | Borders and Shading dialog, as opposed to text box borders
which are the Line on the Colors and Lines tab of Format Text Box. Most of
this you just learn empirically, I think.