Create instance of object every nth time through a loop

You could just change this bit:

if (iScanLine == 3)
{
    lProducts.Add(Product);
    thisPage.sProducts.Add(Product); //<-- We know the object just added is still in Product
    iScanLine = 0;
    Product = new cProducts(); //<-- Create a new object to start populating
}

Also, I know that .NET framework is quite new, being only a decade old, but you might consider reading the Naming Guidelines:

X DO NOT use Hungarian notation.

Looks like you have table with four columns, where each product represented in three consecutive rows

product | order_id | detail   | display_value
A         X          Quantity   5
A         X          Option     Foo
A         X          Size       XL
B         X          Quantity   2
...

And you are trying to read products. I suggest you to store current product name and compare it with last product name. If name is changed, then you are reading data of next product, thus you can create new product and add it to list of products:

IDataReader reader = SqlComm2.ExecuteReader();
List<Product> products = new List<Product>();
Product product = null;

while (reader.Read())
{
    var name = reader["product"].ToString();

    if (product == null || product.Name != name) // check if new product
    {                        
        product = new Product(); // create new product                     
        product.Name = name; // fill name
        product.OrderId = reader["order_id"].ToString(); // and order
        products.Add(product); // add to products
    }

    object value = reader["display_value"]; // get value from row

    switch (reader["detail"].ToString())
    {
        case "Quantity":
            product.Quantity = Convert.ToInt16(value);
            break;
        case "Option":
            product.Option = value.ToString();
            break;
        case "Size":
            product.Size = value.ToString();
            break;
    }      
}

As you can see, I also refactored naming - PascalCase for properties, camelCase for local variables, no Hungarian notation. Also new names for properties introduced - Product.Name instead of odd Product.Product, OrderId instead of sOrder.

Use the Modulus operator to check whether the iterating variable is divisible by expected nth value or not

if(value % 3 == 0)
{
  //do stuff
}
value++;

You are repeatedly adding the same Product to your list, and never create a new one. When you get to the end of your loop, it'll appear as though you've only got a single item in there.

After you've added your item (within the if (iScanLine == 3)), I suspect you want to create a new item: Product = new cProducts().

Also, I would like to reference this particular comment that you make in your question:

If I create the object before the loop is entered, then my list just contains the same result over and over again, because (I've read) that the list only contains a reference to the object, and if the object is then changed, so does the list.

The following code will result in 5 separate objects being added to a list:

List<cProducts> list = new List<cProducts>();
cProducts Product = new cProducts();
for (int i = 0; i < 5; i++)
{
    list.Add(Product);
    Product = new cProducts();
}

You are correct that the list only contains references to the objects - but you are not changing any of the objects; you are creating new ones. This is a fundamental programming principle, and I'd suggest you take the time to understand how it works before moving on.

Not sure if I understand completely but the following loop whould use a counter to execute every third time

int isThirdTime = 0; //Test condition for third time equality
while (true) //neverending loop
{
   if (isThirdTime == 3)//test for 3rd time
   {
      // add to list
      isThirdTime = 0; //reset counter
   }
   isThirdTime++; // Increase the counter
}