Think of those Russian Matryoshka dolls or a set of Chinese nesting boxes. The big doll contains all of the other little dolls; the big box holds all the little boxes.
That's exactly what a frame story does in terms of narrative structure. It's the big overarching story that contains all of the little stories within it. It provides the background story that gives the real story an excuse to be told.
Mary Shelley's novel Frankenstein is famously structured through a frame story, as are Geoffrey Chaucer's Canterbury Tales.