As Sandeep said Response.Write will happen three times in Rowdatabound event.
If you don't want it three times just place a label control to get the column name.
or
Write the code in pageload event to get the column name.
protected void Page_Load(object sender, EventArgs e)
{
DataSet dssa = (DataSet)Session["dt"];
string sr = dssa.Tables[0].Columns[2].ColumnName;
Response.Write(sr);
}