>Actually, when I do that, it always return 0 records, not matter if I do In or Not In

What's the format and size of ID,ID2,ID3 and ID4 fields in both tables? Do you've nulls in those fields. Try to run query and subquery separately and compare output.

Select ID + ID2 + ID3 + ID4 from Test  
Select distinct ID + ID2 + ID3 + ID4 from site