Where should I put the fuse in this circuit ? Critic the design
I would put the fuse between pin 1 of the terminal block and R3. Directly after pin3 is probably just as good. 

I hope R3 is not realy 10k?

And I hop you are aware that the circuit before the 7805 is tricky, and may cause 'interesting' side effects, like a shocking voltage on the terminal block pins after you disconnected the mains? I would expect at least a bleeder resistor over C3 (but maybe I am too pessimistic).