The attributes on your frameset element are not valid HTML, so jQuery does not create it. It will work if you take them out. You can then add the attributes one at a time using .attr
.
var x = $('<frameset></frameset>');
x.attr('frameborder', '0');
x.attr('framespacing', '0');
x.attr('border', '0');
But the added code and resource cost of creating an element is not necessary just to find an attribute value in the string. You can find the substring you are looking for with the match method like this:
var frameborder = '<frameset frameborder="0" border="0"></frameset>'.match(/frameborder="(.+?)"/)[1]
Just replace 'frameborder' in the regex with the name of another attribute to get its value. Simple.