I think it might be possible with using the I.E page history...
Not. I don't think you'd like the people at every website you visit to read your browser history, and I'm sure most visitors to your site would feel the same.
As edcellgavin said, try $_SERVER['HTTP_REFERER']. Sometimes it will contain accurate referrer information, sometimes it will contain bogus information, and sometimes it will be empty. The best you can do with it is get a general idea over time of where your visitors are coming from.