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If you must, I think you could make one of those really annoying 'floating' flash movies, where I think you need to save the movie with a transparent background. If you do a search on g for 'how to float flash movie' there are some tutorials out there.
If you have one page that runs all of the frames, like an index.html of some sorts that defines all of the frame boarders and whatnot. You could try to put it on that main page and then use a <div> and css and align it on THAT page. Not actually in one of the documents that the frames themselves are loading.
An alternative would be, using iframes. Again, not sure if it would be handled the same way.
Not sure if that'd work or not, but you could give it a shot.
thanks for your suggestion, I'll try to make it work