The procedure to remove Shared Borders with FrontPage is summarised at Convert Shared Borders to a DWT. Here is a detailed method.
First ensure that your site is a disc based site located on your PC. If necessary Publish down from the server to an empty disc based website.
IMPORTANT - do not use Expression Web 4 to Import or Publish the site until the Shared Borders have been removed. If Expression Web 4 is all that is available use a third party FTP program such as Filezilla, or even download the site with Windows Explorer.
Make a backup of the website - something will go wrong, and it is useful to have a copy of the files. Ensure the backup includes all the files, including any marked as "Do not publish".
Open the site in FrontPage and check that the _borders folder is visible in the folder list or folders view. If not, then use
Tools->Site Settings, then on the Advanced tab check the box labelled "Show hidden files and folders". Click OK and allow the site to refresh.
Select the _borders folder in folders view (not the small folder list - copy/paste will not function here). Then
Edit->Copy, followed by
Edit->Paste. This creates a copy of the _borders folder (and its contents) named _borders_copy(1) - rename this if desired. A copy of the shared border files will be required since FrontPage tends to delete the contents from the shared border files when they are removed from all pages.
There are two ways to remove the shared borders with FrontPage - the first uses Find and Replace, but should only be used if you have FrontPage 2003 or if the site is small - a dozen or so pages. The second method uses the Shared Borders Dialogue, and can be used for all sites and versions of FrontPage, but in some circumstances can be laborious.
Find and Replace | Shared Borders Dialogue