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There is no Application Frame feature in the Windows version at least up to CS4.

It's only available on the Mac version.

You didn't mention your OS.

 

Here's the explanation I found.

 

The Application Frame

 

The last feature we need to look at in our tour of Photoshop CS4's user interface is brand new and exclusive to the Mac version of Photoshop CS4, the Application Frame. Before Windows users start feeling left out and abandoned by Adobe, what the Application Frame essentially does is give Mac users the Windows experience (all jokes about random system crashes aside). The Application Frame places the entire Photoshop interface inside a self-contained application window, which is how it already works in Windows and why this feature is only available in the Mac version. 

Traditionally, Mac users have been used to Photoshop's interface elements floating around independently on the desktop, and if you're a Mac user and that's how you prefer to work, there's nothing you need to change. However, if you'd prefer to have Photoshop displayed entirely in its own window, similar to the interface style of AdobeBridge and Lightroom, simply go up to the Window menu in the Menu Bar and choose Application Frame down near the bottom of the list of options: