As I understand, my question is not about proxy hierarchies.
I was lucky enough to set up a Squid3 as a transparent proxy. It works good, and all requests go through it.
Now, a user on one of the computers in the network I supervise wanted to use his own proxy. He set up a browser settings to use that proxy. First the request goes through my transparent Squid, which is OK.
But then, surprisingly enough, my transparent Squid makes a request directly to the target server. It does not use that proxy one of users wished to use.
Is it a bug, a feature, or, I hope, I just did something wrong with the configuration file? Please, if anyone has experience with that, give me some idea about that.