Try copying the frame and using File>Place. Does that work any better for you?
I think this might be a bug in pse 11, at least on the windows version.
You might try right clicking on the frame layer in the layers panel, choose Duplicate Frame Layer and pick your other document as the destination.
Thank you R_Kelly, this suggestion did work perfectly. I just wish it was as fast as drag and drop! I really do move alot of pictures around, and I am tempted to stick with PSE7 just for the ability to drag and drop between files.