A framing narrative is a story that "frames" the main story in a book. So, literally, there is a story within a story. This technique is used in works such as Turn of the Screw by Henry James and multiple framing narratives are used in Wuthering Heights by Emily Bronte.
In this novel, the framing narrative is the narrator, who is touring Warwick Castle, and a guide suggests that a mysterious hole in a piece of armour was probably the work of someone much later in history. A stranger says he knows how the hole happened because he was there when the hole was made. This opening scene then gives us information that we are not fully introduced to until Chapter 39 of the main story. Later this mysterious stranger comes to the narrator's room with a aged manuscript and thus the story within a story begins. This framing narrative serves to heighten our suspense and engage us as a reader. The final chapter of course, takes us back to the framing narrative where the narrator goes to the stranger's room to return the scroll. The stranger is muttering Sandy's name, and dies.