South Korea and the USA were carrying out a military exercise RIGHT on the border of North Korea. North Korea warned them; "if you fire rockets over our airspace, then we will retaliate." SK and the US fired rockets over North Korean airspace, despite the warning... . North Korea retaliated, as they had said they would.
The story as it appeared in mainstream Western papers was heavily skewed. Ie propaganda.

Why must the USA and South Korea have exercises on the border of North Korea?

I think it is because they want every opportunity to depict North Korea as a very dangerous and evil country, to pave the way for future US control of North Korea. In reality North Korea is just a is a backwards thrid world dictatorship that wants to be left alone. But they are sitting on some prime real estate in Asia and I think the US would love the idea of occupying the WHOLE Korean peninsula, not just the South. Very snug location at the crossroads of Asia, on the border with China and very close to Vladivostok.

I think both North Korea and South Korea are playing very clever mind games with each other.

As for the nuclear capabilities of North Korea: What a joke. Nobody in the world is afraid of that. Using nukes is suicidal and the only reason a country wants it is as a deterrent to an invasion. South Korea already has US nukes. Furthermore North Korea says it wants nuclear power because it can't afford oil and has sersious energy shortages.

What have Russian papers been saying about this?