MFC CDailog in CFrameWnd

I'm not pretty sure what you're talking about here, but if you just want to display a modal (that is, the user can only interact with the dialog) dialog that has your main frame as a parent, it's really easy.
What I like to do, is to derive a class from CDialog like this:

class CMyDialog : public CDialog
{
   /* CDialog declarations here */
};

Then I map it to a dialog resource. The best way to create this class is by using the MFC class wizard. First create the dialog resource and then create the MFC class using the wizard. Set the Base Class to CDialog and the ID to your dialog's ID (e.g. IDD_MYDIALOG). Then instantiate the class and call the DoModal() function.

CMyDialog* pDialog = new CMyDialog();
pDialog->DoModal();

That's all.