Man, I hope this isn't the only official way to get this working.  Currently, I have to use Windows auth for access to our intranet site, as it has confidential information on it, and right now I don't have another good way to keep snoopers out - folks that have domain credentials, but are not not in the department using DNN. 

I've been using the Accidental Architect's Redirector module by Michael Levy to send unauthenticated users (in the DNN sense) to the admin/security/windowssignin.aspx page.  (Thank you Michael!)  I set the module so it is only visible to unauthenticated users and the code does not redirect admin users.  I would caution anyone using it to Be Careful and read the docs - and make some docs of your own - on how you implement this module on your site, or you can lock yourself out of your site in a way that will take hacking or restoring your db to recover from.  Try it on a test instance to get the hang of it, and experiment with the adminstrative command line parameter, it is really helpful.  Bookmark a dnn login page like (yoursite)/Home/tabid/36/ctl/Login/Default.aspx before you get going with this.

One problem I see with this stragegy is if non-home pages are bookmarked.  I haven't tested putting the redirect module on every page, but I suppose I should do that.