you can also have a look at the various forum links in the wiki
Belly pan - EcoModder
to answer your questions directly
Frame for belly pan: I have not used or required a frame, i am using coroplast which is fairly rigid, screwed or pop riveted at multiple points to the car body, front grill
How to attach material: I am using screws (wood screws however metal screws should be used in my case im just too cheap to get them) I am also using squares of aluminium with a hole to act as a large washer which gives more surface area to hold the coroplast to the body.
What materials used: just coroplast, aluminum squares and screws. I have also joined multiple coroplast sheets together using hot glue which works very well. (its very hard to find a really big piece of coroplast.
engine bay area: I have put belly pan material over the whole engine bay area, except where the exhaust is as it melts through the coroplast. This results in my front grill block/cover flowing straight onto the belly pan.
Exhaust area: I have left it uncovered at the moment as it would melt through the coroplast. If you are really eager you could use sheet metal over the exhaust area as it will not melt. Note: if you have any exhaust issues and any holes in your cabin area you risk having exhaust gasses feed into your cabin, you should smell that very quickly though.