In Emacs terminology, a "frame" is what most window managers (Windows, OSX, GNOME, KDE, etc.) would call a "window".
It will typically have a title bar and some buttons to iconify (minimize), maximize / restore, and close the frame. To see an example, open up a second frame from your running Emacs instance with
C-x 5 2 (
make-frame-command). You can close frames with
C-x 5 0 (
delete-frame), though this will not close the last frame that is open.