[BirdOPrey5]

If by frame you mean border there is no border by default, you need to specify it in the options like:
[tbl="border=2"]
[tr][td]There is a border around this.[/td][/tr]
[/tbl]

As for the code you posted:

[tbl="border=0 bgcolor=grey align=center"]
[th="bgcolor=lightblue colspan=3"]Table Header[/th]

You're missing the [tr] tags and the closing [/tbl] tag... You'd need at least:

[tbl="border=0 bgcolor=grey align=center"]
[tr][th="bgcolor=lightblue colspan=3"]Table Header[/th][/tr]
[/tbl]