When using the X Window System, you can create multiple windows at the X level in a single Emacs session. Each X window that belongs to Emacs displays a frame which can contain one or several Emacs windows. A frame initially contains a single general-purpose Emacs window which you can subdivide vertically or horizontally into smaller windows. A frame normally contains its own echo area and minibuffer, but you can make frames that don't have these--they use the echo area and minibuffer of another frame.
Editing you do in one frame also affects the other frames. For instance, if you put text in the kill ring in one frame, you can yank it in another frame. If you exit Emacs through C-x C-c in one frame, it terminates all the frames. To delete just one frame, use C-x 5 0.
To avoid confusion, we reserve the word "window" for the subdivisions that Emacs implements, and never use it to refer to a frame.