Dragging from the main site will not work.
In the sub-site navigation view, right click on an existing page, then
choose "Add existing page" or "Add external page" (wording varies with
FrontPage version). Type in the address for the page you are linking to
(or better - use the browse option, then FP will definitely get the
correct path). This will produce a yellow box with a globe on the bottom
left corner. Move the box to where you really want it in the
navigation. Finally, rename the page title (in the yellow box) to how
you wish it to appear on the link bars.