Removing the border around frames involves both not drawing the frame borders and eliminating the space between the frames. The most widely supported way to display borderless frames is <FRAMESET ... BORDER=0 FRAMEBORDER=0 FRAMESPACING=0>.
Note that these attributes are proprietary and not part of the HTML 4.01 specifications. (HTML 4.01 does define the FRAMEBORDER attribute for the FRAME element, but not for the FRAMESET element.) Also, removing the border around a frame makes it difficult to resize it, as this border is also used in most GUIs to change the size of the frame.