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This will return only the first of the 3 numbers. It does not require that the values of number are consecutive. Tested at SQL-Fiddle:

WITH count3cte3 AS
( SELECT
    *,
    COUNT(CASE WHEN status = 'FREE' THEN 1 END) 
        OVER (PARTITION BY id_set ORDER BY number
              ROWS BETWEEN CURRENT ROW AND 2 FOLLOWING)
      AS cnt
  FROM atable
)
SELECT
  id_set, number
FROM count3cte3
WHERE cnt = 3 ;

And this will show all numbers (where there are 3 or more consecutive 'FREE' positions):

WITH cte3 AS
( SELECT
    *,
    COUNT(CASE WHEN status = 'FREE' THEN 1 END) 
        OVER (PARTITION BY id_set ORDER BY number
              ROWS BETWEEN CURRENT ROW AND 2 FOLLOWING)
      AS cnt
  FROM atable
)
, cte4 AS
( SELECT
    *, 
    MAX(cnt) 
        OVER (PARTITION BY id_set ORDER BY number
              ROWS BETWEEN 2 PRECEDING AND CURRENT ROW)
      AS maxcnt
  FROM cte3
)
SELECT
  id_set, number
FROM cte4
WHERE maxcnt >= 3 ;

This will return only the first of the 3 numbers. It does not require that the values of number are consecutive. Tested at SQL-Fiddle:

WITH count3 AS
( SELECT
    *,
    COUNT(CASE WHEN status = 'FREE' THEN 1 END) 
        OVER (PARTITION BY id_set ORDER BY number
              ROWS BETWEEN CURRENT ROW AND 2 FOLLOWING)
      AS cnt
  FROM atable
)
SELECT
  id_set, number
FROM count3
WHERE cnt = 3 ;

This will return only the first of the 3 numbers. It does not require that the values of number are consecutive. Tested at SQL-Fiddle:

WITH cte3 AS
( SELECT
    *,
    COUNT(CASE WHEN status = 'FREE' THEN 1 END) 
        OVER (PARTITION BY id_set ORDER BY number
              ROWS BETWEEN CURRENT ROW AND 2 FOLLOWING)
      AS cnt
  FROM atable
)
SELECT
  id_set, number
FROM cte3
WHERE cnt = 3 ;

And this will show all numbers (where there are 3 or more consecutive 'FREE' positions):

WITH cte3 AS
( SELECT
    *,
    COUNT(CASE WHEN status = 'FREE' THEN 1 END) 
        OVER (PARTITION BY id_set ORDER BY number
              ROWS BETWEEN CURRENT ROW AND 2 FOLLOWING)
      AS cnt
  FROM atable
)
, cte4 AS
( SELECT
    *, 
    MAX(cnt) 
        OVER (PARTITION BY id_set ORDER BY number
              ROWS BETWEEN 2 PRECEDING AND CURRENT ROW)
      AS maxcnt
  FROM cte3
)
SELECT
  id_set, number
FROM cte4
WHERE maxcnt >= 3 ;
1
source | link

This will return only the first of the 3 numbers. It does not require that the values of number are consecutive. Tested at SQL-Fiddle:

WITH count3 AS
( SELECT
    *,
    COUNT(CASE WHEN status = 'FREE' THEN 1 END) 
        OVER (PARTITION BY id_set ORDER BY number
              ROWS BETWEEN CURRENT ROW AND 2 FOLLOWING)
      AS cnt
  FROM atable
)
SELECT
  id_set, number
FROM count3
WHERE cnt = 3 ;