An iframe is just a frame that allows for a bit more flexibility in location.......
Having said that, let's look at your iframe code:
<iframe src="page.html" width="300" height="300"
frameborder="0" scrolling="auto" name="mainFrame">
TEXT FOR NON-COMPATIBLE BROWSERS</iframe>
If you google "frames tutorial" or "iframes tutorial" (There are TONS of them on the internet), then you'd see that all you need to do from that point on is tell your links WHERE to load... In your case, it's in the "mainFrame" since that's what you have named your iframe. I won't give you the code, but I will give you a hint: Look at the TARGET attribute for the <a> tag, and you'll get it. This is covered in just about every single frames tutorial out there.
Also, if your question is non-php specific in the future, you may want to find another forum to ask your question, if you don't choose to google for your answer. It kind of rubs some people the wrong way when it's apparent no effort was made on your part to figure out your non-php related question, and instead you just ask your question like that. (Just a little helpful tip for ya)