These are <frame>s, not <iframe>s, and that's just the way that <frame>s work. The browser reflects the URL of the top page, which contains only your <frameset> and never changes until the user leaves your domain. There are no other pages in your domain for the search engines to index.
You might be able to point your domain name directly at the content on wordpress.com. Check the documentation. Otherwise, if you want your site to behave like other sites for users and search engines, you should buy a conventional hosting service and use that to host your blog. Good luck!