One of the trickiest parts of frames is how many pages they generate, and it can be difficult to tell if you've saved all the relevant files. When you build a frameset, there will be n+1 HTML documents, where n equals the number of frames. So if you have a 2-frame page like we built, you will have 3 HTML documents to save and manage. (More if you have additional pages that go inside the frameset.)
First check that you've saved all the files in your frameset by clicking on both frames and checking the filename in the Dreamweaver filename window (highlighted in yellow above). If the filename does not have a star (*) next to it, it has not been modified and you don't have to save it.