Why would they do this, and for what purpose

Hello, I created a site using tables and not frames. However I previewed the site today and found that the url at the top remained the same throught the design.

For example

http://www.consultancydevelopmentnetwork.com

it does not display the extention of files. The hosting company have placed the design inside I think a frame, now I am not sure why they have done this? Is this a bad thing they have done? will this cause any problems, or infact is this a good way of keeping the url constant without the links displayer at the end?

please if you know leave a message

Cheers

Trev