You can't set the focus of a Frame. And even if you could, a frame doesn't have any drawing methods so you would still need to draw on the form - and all such drawing sits below any placed controls...
Frankly a control such as Frame is a real bind to perform drawing operations on (if you want the drawing to remain persistent), so your best bet (unless you really want to get down and dirty with the API) is to place a borderless picture box inside the frame, and draw on that.