Adding X-Frame-Options header to all pages in MVC 4 application

There's no need for a custom HttpModule or ActionFilter if you need it for every page. https://developer.mozilla.org/en-US/docs/HTTP/X-Frame-Options details a much simpler solution:

To configure IIS to send the X-Frame-Options header, add this your site's Web.config file:

<system.webServer>
  <!-- ... -->

  <httpProtocol>
    <customHeaders>
      <add name="X-Frame-Options" value="SAMEORIGIN" />
    </customHeaders>
  </httpProtocol>

  <!-- ... -->
</system.webServer>

Make sure you inherit from the correct class:

public class XframeOptions : System.Web.Mvc.ActionFilterAttribute

In ASP.NET MVC 4 there's the Web API which has different namespace and since you haven't explicitly specified the namespace I guess that the compiler is picking the wrong class:

System.Web.Http.Filters.ActionFilterAttribute