Actually, a better way. You can have index.php (or whatever.php) control everything, so they never have to go to links.php, say, just index.php?act=links or something. Here's a basic example.
<?php
if(isset($_GET["act"]))
{
$act = $_GET["act"];
if($act=="downloads")
{
include("downloads.php");
}
else if($act=="links")
{
include("links.php");
}
else if($act=="contact")
{
include("contact.php");
}
}
else
{
include("includes/defaultpage.php");
}
?>
Now if you do index.php?act=downloads, downloads.php will appear on the page, but it'll still look like your in index.php, looks a lot better this way.