"You're joking at me" doesn't work, but this does; "You're having a joke at my expense". The following are common: You're joking with me. [here, "with" has pretty much the same meaning as "at"] You're having me on. [more likely to be heard in the U.K.] You're playing with me. You're kidding me. You're putting me on. You're joshing me. You're pulling my leg. Replace "you're" with "he's" as appropriate.

На русском это выглядит так: "Кто-то шутит надо мной" In Russian it looks like this: "Somebody is joking with me"

No. Someone is playing a joke on you. (making fun of you; trying to embarrass you)

No, not without sounding odd. They can be teasing you, or you can also say 'they are kidding me' if they are telling you 'white lies' as a joke. You might need to give an example, so that we can better understand the situation you are trying to explain.