I have my own self hosted wordpress blog. I want to frame in something on a page. How do I do this? Is there a specific plugin? Or do I just use some frame in HTML?

yes, choose HTML and add your iframe code like

<IFRAME SRC="hello.html" WIDTH=450 HEIGHT=100>
If you can see this, your browser doesn't
understand IFRAME. However, we'll still
<A HREF="hello.html">link</A>
you to the file.
</IFRAME>