There's an old trick how to break out of frames using Javascript. Not sure if it works for iframes, too, though. Use Google ...
You could also try some .htaccess magic to block any referrals from that site - or redirect them to a page that says something like "don't steal my content"
Should I even be concerned?
I certainly wouldn't like to see my site framed in such a way. Linking is fine, framing isn't.
bye, Dirk