I would have the index page create a session like Pirahna suggsted and on each subsequent page check to see if the session cookie exists, if it doesn't then use a header call to redirect them to the index page:
On the index page:
<?
session_start();
$_SESSION['view'] = 1;
?>
The first code on each subsequent page
<?
if(!isset($_SESSION['view'])){
header ("Location: /index.php");
}
?>
This would work fairly well for what you want because they have to visit the index.php file to create the session and the session variable 'view'. Once they do then the info is retained for as long as they have their browser open. Once the close it and try to go back to a direct page, the browser will redirect them because $_SESSION['view'] isn't set. This, of courses, requires that your php.ini configuration file is set to expire all sessions on browser close. To check open php.ini and make sure you have this line:
session.cookie_lifetime = 0
Hope this helps!