Thank you justG, let me try to explain what I did.
My MT was installed under:
http://www.example.com/cgi-bin/mtMy blog URL is:
http://blog.example.com/ ========================
My .htaccess is very simple, I just put the following code into it, nothing else.
CODE
RewriteEngine on
RewriteRule /tag/(.+) /cgi-bin/mt/mt-search.cgi?tag=$1&blog_id=14
"14" is my blog ID.
I uploaded .htaccess as:
http://blog.example.com/.htaccess==========================
In template, I put:
CODE
<a href="/tag/<$MTTagName encode_url="1"$>"><$MTTagName$></a>
to where I want the tag link to appear.
=============================
At the user end, when the mouse hover, the tag link URL appears to
http://blog.example.com/tag/my_tag_name, which is correct and nice.
But the link can not be clicked through, it will give me 404 error.
I guess because my blog URL is
subdomain, the second line in .htaccess is not correct.
I tried to put several different thing into this line, such as "/../cgi-bin", but no luck.

I guess my objective is to find what should I put in .htaccess?
================================
I also tried to write it this way:
CODE
RewriteEngine on
RewriteRule tag/(.+) http://www.example.com/cgi-bin/mt/mt-search.cgi?tag=$1&blog_id=14
Well! Now the link works! but

...... after clicked, the URL in address bar will be:
CODE
http://www.example.com/cgi-bin/mt/mt-search.cgi?tag=my_tag_name&blog_id=14
This looks like I didnt beautify the tag search link at all.