How to prevent my site page to be loaded via 3rd party site frame of iFrame

You cannot check it from the server's side, but you can use javascript to detect it after the page has loaded. Compare top and self, if they're not identical, you are in a frame.

Additionally, some modern browsers respect the X-FRAME-OPTIONS header, that can have two values:

• DENY – prevents the page from being rendered if it is contained in a frame
• SAMEORIGIN – same as above, unless the page belongs to the same domain as the top-level frameset holder.

Users include Google's Picasa, that cannot be embedded in a frame.

Browsers that support the header, with the minimum version:

• IE8 and IE9
• Opera 10.50
• Safari 4
• Chrome 4.1.249.1042
• Firefox 3.6.9 (older versions with NoScript)

Stackoverflow includes some JS to test it (master.js). This is the relevant part of it:

if(top!=self){    top.location.replace(document.location);    alert("For security reasons, framing is not allowed; click OK to remove the frames.")}

But keep in mind that JS can be disabled.

For modern browsers, you can use CSP (Content Security Policy), which is a standard. The following header will prevent the document from loading in a frame anywhere:

Content-Security-Policy: frame-ancestors 'none'

(IE 11 needs the X- prefix, though). You can also change 'none' to the origin on which framing is allowed, such as your own site.

To cover the older browsers, this is best used together with @Maerlyn's answer.