I have some protected files on my site, and the links to the files are available to everyone.

If someone clicks a link and they are not logged in, the get a message that says "You do not have permission ..."

I would like to make this a bit friendlier.  If they click that protected link, instead of the message I would like for them to be redirected to the login page.

Any ideas how to do this? 

 
Adding to Ian's suggestion...
 
RETURNURL
If you decide to modify your resource file to provide a URL to your LOGIN page, AND if your portal provides document links only on a certain page, you could append the RETURNURL querystring value to have your visitors auto-redirected back to the documents module page once they log in.

To use RETURNURL querystring option, add the following to the end of your login page URL:

   ?returnurl=%2ftabid%2f(your document module page's tabid value here)%2fDefault.aspx

Also:  Portal-Specific Resource Files
Make a copy of your resource file and rename the copy as a portal-specific file.  Such files reside in the same directory as the original resx but follow a very specific naming convention:  instead of ending with ".resx", a portal-specific version will end with "Portal-x.resx" with "x" being your portal number.  I'm not sure if this applies to resx files under App_GlobalResources but it certainly works most everywhere else.

Example:
If your resource file is "Profile.ascx.resx" and your portal number is "2", a portal-specific version of the resource file would be named "Profile.ascx.Portal-2.resx".   The default resx is loaded followed by the portal-specific resx (if any).  Because of this, your portal-specific resx only needs to include references for values you wish to override.

By creating and using a portal-specific resx you'll only affect resource values for your portal rather than for your entire DNN instance, which could be a very good thing in the case of changing "You do not have permission" to a meta refresh to a specific login URL.
 

Cheers!
-mamlin