There's no friendly setAnalogFrequency() kind of function included in the standard library, but it's a pretty straightforward task.
A google search for "arduino set pwm frequency" will find a few useful threads on this site and on other sites like uchobby.
I think one reason for excluding the function is because there are some subtle interplay that you should be familiar with, before you start messing with these things.
For example, there are six PWM-capable output pins, and each of the six outputs has their own PWM-comparator to adjust the duty cycle of that pin. But there are only three actual timers, so pins in pairs, 3/11, and 5/6, and 9/10, each pair shares a timer. Adjust the frequency of pin 3, and pin 11 also gets the new shared frequency.