I just posted about how to assemble a medium box, now it's on to the frames.
For each frame there are 4 pieces: top, bottom, and two identical sides. Start with one or two sides and the top. Apply glue to the surfaces that will touch.
Now just hammer a nail into the top bar through to the side. Go slow and make sure it's straight and try to make direct hits with the hammer so that the nail doesn't bend. I sometimes use the hive box to support the opposite end or sometimes I put the other side on with the glue just to support the top while I tack in the nail.
Next glue it up (if you haven't yet) and nail the other side. It should look like this.
Flip it over and glue the bottom bar and the bottom of the side bars.
Press it in place...
..and nail it in.
Voila! One down, nine to go.
The next step is to put in your starter strips so the bees have something to attach the comb to. For starter strips watch this video of Kirk in action: How to make starter strips. If you are wondering why we don't use foundation read Russell's post about that.
Oh yeah, things don't always go perfectly. Sometimes the nails bend or pop out the side a strange angles. When this happens (and it will) don't stress out, just try to pry it back up straight and hammer it in again, or pull it completely and use a new nail.
This only works about 30% of the time though so when it goes badly a second time, cut your losses.
When that happens hammer it flat, hope that some of it grabbed on the other side and/or that the glue will do it's job and move on to the next nail.