Thanks, By now I have solved it.
iptables -t nat -A PREROUTING -i eth0 -p tcp --dport 80 -j REDIRECT --to-port 3128
Which side is eth0 pointing to? LAN or Internet? If it's the Internet side then you need to change the above to the LAN side.
U R RIGHT. eth0 is connected to INTERNET.
I changed it to eth2.