You're right about the links, sorry went a little brain dead there. You would use the ASP.NET Configuration tool which is under Website in the top menu. This loads up a new web page that is used to configure your site.
Click the Security Tab, the first box will say if you're using Windows or Form based authentication. Change it if you need to. In the Access Rules box select Create Access Rules. In the Tree on the left click the folder you want to restrict access to. Select All Users and Allow. Click OK.
Now click on Create Access Rules again, click the same folder, select Annonymous Users and select Deny. Click OK.
You have to create the access rules in this order, otherwise the annonymous user will always recieve a Forbidden error message.
And you're all set to go. Since the pages are in the folder, the same access rules will apply to them. Now when the user clicks a link to a protected page, ASP will automatically check to see if the user is authenticated and if not redirect to the login page. After a successful login the use will be taken to the page. The only down part, like you said, is that you have to change the links. Sorry.
Hope that helps,
Bart