Hi Rob,
Thanks for your help and guidance.
Yesterday, I did the measurement using Arduino Duemilanove, but the results still didn't change at all. Also, it didn't work with another pin on my MEGA.
Luckily, another dht11 sensor came yesterday. I tried the new dht11, and voila! it works 
I think the problem is the sensor. When I uploaded code from DFrobot (that suggest to use sensor shield), I forgot to unplug my dht11 signal wire from arduino digital pin. And my guest, the dht11 ADC was damaged when I uploaded the code. I don't want to verify my guess, but if that (the problem) happen to someone, please let the others know for verification by posting in this forum. I would be thankful 
regards,
thoms