We have 2 proxy server, 192.168.0.1 & 192.168.0.2. Both of them connect to different ISP.

Each of our client use IE proxy that connect to 192.168.0.2:3128, but all of them use 192.168.0.1 as their primary gateway setting. Don't ask why, it's a long story.

We want to filter the connection to let say 222.222.222.222, so that everyone that type that address in IE will be forced to use 192.168.0.1:3128 proxy.

I tried putting this in 192.168.0.2 firewall rules:
iptables -t nat -A PREROUTING -i ${L/WAN} -p tcp -d 222.222.222.222 -j DNAT --to 192.168.0.1:3128
or
iptables -t nat -A OUTPUT -p tcp -d 222.222.222.222 -j DNAT --to 192.168.0.1:3128
or
iptables -t nat -A POSTROUTING -i ${L/WAN} -p tcp -d 222.222.222.222 -j SNAT --to 192.168.0.1:3128

and none of them work.... how do I filter a connection that already use proxy?

wouldn't this be easier to solve by using one of the pac files for IE proxy setup, lets you list rules for which proxy certain addresses should be sent too.

http://en.wikipedia.org/wiki/Proxy_auto-config

is this done in the client or the server?
because I need it done in the proxy server itself in case the list changed. It'll be too much hassle to change configuration in all our clients' computer.

The proxy auto config file has to be on the server and clients link to the file. You need to set the browser to auto detect proxy settings.

ok, because this seems like my only options.... how do I start? what should I emerge? is there a tutorial on how to install this?

You do not install it. You need to write a script that is basically more of a JS. And then configure your DNS for wpad. Take a look at the link in the above post for reference. The scripts in the link may just work for you the way they are.

? don't quite get it.
I just read the requirement for WPAD and I read this "The file named wpad.dat must be located in the WPAD web site's root directory."

I got the impression that this might not be what I was looking for.... because the destination 222.222.222.222 I'm referring to is not our web server, it's public.

I just need to filter connection coming from LAN(192.168.0.1/24, eth0) to determine which ISP that particular client should use to connect to a certain public website(in my example 222.222.222.222).

Are you looking for load balancing or connecting to internet using two different providers?
Something like this?

http://www.shorewall.net/MultiISP.html

http://linux-ip.net/html/adv-multi-internet.html

no, just need iptables rules to separate destination. if iptables can't do it then somekind of squid patch or any other ideas.

we use 2 different server/router in which each connect to different ISP.