Oh, I figured it out.
For some reason, 2Checkout doesn't take underscore for the redirection.
Change pm2checkout_process.php to pm2checkoutprocess.php without the underscore. It should work.
Ok, now to the next problem T_T....
After successfully redirecting, my website treated me as an unknown(non-logged on) user and hence redirect me again to login page.
Of course, all orders were NOT logged in DB. T_T
Any idea on how to fix this?