Right click and inspect one the of menu items in Chrome or Firefox. When you right click the context menu should open and have "Inspect Element" menu item. This will open the developer console on that menu item. This allows you to see the sites HTML structure and with it all of its styling element-by-element.
The frames could be from the template or possibly bootstrap. Most likely they're just a border, which you can remove by setting border to 0 as follows.
Code:
ul li,
ul li > a {
border: 0;
}