Let's address the problem in a step-by-step format as per the guidelines:

**Part (1): Finding the value of $f(0)$**

Given $f(x+y)=f(x)+f(y)$ for all $x, y \in R$, let $x=0$ and $y$ be any real number. We then have:
$$f(0+y) = f(0) + f(y)$$
Substituting $0+y$ with $y$, we get:
$$f(y) = f(0) + f(y)$$
By rearranging the equation, we find that for all $y$, $f(0)$ must be equal to $0$ to satisfy the equation. Hence,
$$\boxed{f(0) = 0}$$

**Part (2): Determining the parity of $f(x)$**

To determine the parity of $f(x)$, we need to prove whether $f(-x) = -f(x)$ (odd function). Consider $f(x+y)=f(x)+f(y)$ with $y=-x$, we have:
$$f(x+(-x)) = f(x) + f(-x) \Rightarrow f(0) = f(x) + f(-x)$$
Since we already know $f(0) = 0$, substituting this into the equation yields:
$$0 = f(x) + f(-x) \Rightarrow f(-x) = -f(x)$$
This proves that $f(x)$ is an odd function, hence:
$$\boxed{\text{$f(x)$ is an odd function}}$$

**Part (3): Finding the range of real number $k$**

Given the inequality $f(kx^{2}) - f(-2x-1) < 4$ for $x \in [\frac{1}{2}, 3]$, and knowing $f(x)$ is odd, we can rewrite the inequality as $f(kx^{2}) + f(2x+1) < 4$. Given $f(3)=6$, we find:
$$f(1+2) = f(1) + f(2) = f(1) + f(1) + f(1) = 3f(1) = 6$$
Solving for $f(1)$, we obtain:
$$f(1) = 2$$
Subsequently, for $f(2)$, knowing $f(2) = f(1+1) = 2f(1)$, we find:
$$f(2) = 4$$
Given the condition $f(kx^{2}+2x+1) < f(2)$ for $x \in [\frac{1}{2}, 3]$, and knowing $f(2)=4$, we deduce:
$$kx^{2} + 2x + 1 < 2$$
Rearranging gives us:
$$kx^{2} + 2x - 1 < 0$$
To find the range of $k$, we analyze the quadratic expression in $x$, obtaining:
$$k < (\frac{1}{x})^{2} - 2(\frac{1}{x})$$
Let $g(x) = (\frac{1}{x})^{2} - 2(\frac{1}{x}) = (\frac{1}{x} - 1)^{2} - 1$. Considering the interval $\frac{1}{2} \leq x \leq 3$, the minimum of $g(x)$ occurs at $x=1$, thus $g(1)=-1$. Therefore, we conclude:
$$\boxed{k \in (-\infty, -1)}$$