Yes, it is a visual component. It's a container that can be edited almost as if it were a form, only it has to be embeded inside a form or other containers (like a panel or a tabsheet). Indeed, you can think of it as an "embedable form".
You create one by going to "File->New..." and selecting "Frame". Then you can design and program it by adding controls, setting event handlers, etc. (and load/save it) as if it were a form, with its own unit.
To use a frame you have two basic options, as with any other control: either in code or selecting TFrame in the palette (Standard tab) and clicking on the form (or other container in it); that will show you a dialog allowing you to select which frame to insert, if there is any in the project.
There is more info about them in the wiki:
TFrame