Create a dialog inside a frame window

Hi,
I want to create a frame window with a dialog as the client window. I'm not talking about having a dialog as the main window in an application. The frame window should have an icon, could be resize by pulling the edges, be modeless and have minimize and close buttons.

Something like this:

CDialog* pMyDialogClient = new CDialog(...);
CFrameWnd* pMyFrame = new CFrameWnd(.., pMyDialogClient, ...);
pMyFrame->SetIcon(...);
pMyFrame->Create(...);
pMyFrame->Show(SW_SHOW);

I not very familiar with MFC but I have done this in other frameworks where it have been quite easy.  Perhaps I'm looking at the wrong classes in MFC because it is not obvious for me how to set the client dialog for the CFrameWnd class.

Thank you, Ole.