I really appreciate the thoughtful responses I've received.  I think I understand what Dan is saying, and I believe I probably needed to clarify exactly what happens in my case.

I actually have a separate login mechanism in front of DotNetNuke that does prevent a user from visiting the site.  Theoretically then, I should get redirected each time I login.  But I do not.  It appears that once I visit the DotNetNuke site, there is a cookie that is set (maybe it's authentication.status.1 or something).  If I then close the browser (as opposed to explicitly logging out), that cookie will be set the next time I visit the page.  So when I login with my front page, that cookie will cause no redirect to occur, but instead of being logged in, I will be presented with the User Login page.  If at this point, I visit WindowsSignin.aspx, I am of course logged in (I think with no problems) but I had to explicitly type that address in.

Maybe there's a way to make that cookie a session cookie in my case?  Which cookie is it that actually disables the redirect:

portalroles
portalaliasid
authentication.status.1
.DOTNETNUKE
DotNetNukeAnonymous
.ASPXANONYMOUS
DNNReturnTo1
 

Is there some reason that they are not all session cookies to begin with?

Thanks.

I think it is possible.  If I send them to WindowsSignin.aspx, will they then get redirected to the homepage?  Thanks.

I'm very puzzled now.  I was successfully setting the DNNReturnTo1 (because my portal alias is 1) and my test case was working.  I.e., I would redirect to WindowsSiginin.aspx upon logging in and set the DNNReturnTo1 to the originally requested URL.  All of a sudden, the WindowsSiginin.aspx page started behaving differently.  Instead of redirecting to the DNNReturnTo1, it would append a URL like "/dotnetnuke/" to the www.example.com/DotNetNuke/DesktopModules/AuthenticationServices/ActiveDirectory/ and create a bizarre URL that of course will not exist:  "www.example.com/DotNetNuke/DesktopModules/AuthenticationServices/ActiveDirectory//dotnetnuke/"  How am I supposed to correctly set the DNNReturnTo1 cookie?  Why would an absolute URL suddenly become a relative URL?