Look for the Direct Draw tool icon. Click that icon. Then click the FRAME tab/button (whichever you like to call it) to call up the Frame creation tools. Note that these tools are different and separate from the regular shape tools in the Direct Draw tool. Choose a frame type to draw - let's go with Rectangle Frame. On your canvas, draw a rectangle using the tool. Your document should change to a bluish purple color surrounding the white area of your frame. If you look at the Layers for your document you should now see a group layer called Frame 1 that has a masked area. In that group will be a new blank layer and a new frame background layer.  

Edit: Please note that in my toolbar I have a few more pen and painting tools than you because I have created my own set of both. Those are custom tools, so that's why your toolbar may look different.