Frames are quite often used to hide the actual address (URL) of the page being viewed. The URL of the home page stays in the address bar all the time. This technique is also called address masking, or stealth redirection. If the user follows links on the page and the URL stays the same it's for the user impossible to pass on the address of the page he/she is visiting to someone else using email or an instant messenger for example. It kills the whole idea behind uniquely addressing resources.
Sometimes it is possible to break out of the frame by opening the page in the frameset into a new window using the browser. However some pages will rebuild the frame set immediately.
This method is often used to get a good looking address (domain or URL forwarding services) or to hide the fact that most traffic intensive pages reside on a different server which is for example part of the Internet account of the site owner.