To answer your question directly... bike frames are generally made of whatever materials the manufacturer decides are necessary for the type of use the bike is intended.
A road bike is not subject to the pounding and vibration normally expected when riding a mountain bike on trails or unpaved roads so their frames are lighter, stiffer and have no separate shock absorbing capabilities other than that afforded by the frame materials. Generally speaking the steel and aluminum tubing on the road bike frames will have thinner walls to reduce the weight or the frame will be made of titanium or carbon fiber for the same reasons. Light weight is a primary consideration in road bikes.
Mountain bikes on the other hand are subjected to constant pounding, vibrations, and hard hits encountered on those unpaved surfaces so their frames are much heavier and usually include some shock absorbing components such as a fork and rear suspensions. You'll notice that their frames have thicker walled tubing and generally weigh far more than road bikes. You'll also notice that carbon fiber isn't an option on most of them. The constant pounding that they're usually subject to is better tolerated by the metal frames. .
