Our flight arrives in Frankfurt from the US, Terminal 2, (on US airways) with a connecting flight to London Heathrow (Lufthansa). Will we still go through Immigration since we won't leave the airport? Will we have to go through security again?
Yes. Presumably Frankfurt is your first stop in the Eurozone Schengen area and you will need to go through passport control.
But London (England) is not in the Schengen zone, so technically she is just "in transit" and is not entering the Schengen zone. Depending on the concourses involved, she might stay in a "quarantine" area and never have to go through immigration or security before leaving on her flight to London. Since she is changing airlines, to Luftahansa, she might have to go out of the concourses, and, therefore, through immigration and security. The airline might be able to tell her.
Lufthansa uses Terminal 1, so you will need to change terminals. It is possible to stay behind security, including the ride on the Skytrain monorail that connects the terminals. There is a dedicated car and station in both terminals that keep you "airside".
I agree. You will stay in transit while in Frankfurt. There is a dedicated transit car on the people mover train from Terminal 2 to Terminal 1. And since construction at T1 is almost finished you actually shouldn't have to go through security again.
Lufthansa flights to London Heathrow most likely depart from Terminal 1, concourse B.