How to prevent not logged in users from accessing magento site and force customer to login?

Step 1:

Create and put below content to the file named "redirect.phtml" and place under "/template/page/html/".

Mage::getSingleton('customer/session')->setBeforeAuthUrl($this->getRequest()->getRequestUri());  //save requested URL for later redirection
if(!Mage::getSingleton('customer/session')->isLoggedIn()) {  // if not logged in
    header("Status: 301");
    header('Location: '.$this->getUrl('customer/account/login')) ;  // send to the login page
    exit; 
} 

Step 2:

Edit "page.xml" and place the code

after

Step 3:

Edit the below files "template/page/"
1. 1column.phtml
2. 2columns-left.phtml
3. 2columns-right.phtml
4. 3columns.phtml

and Insert the following line at the start of all the files.

echo $this->getChildHtml('auth-redirect')

Step 4:

Now Add exceptions for home, login and cms page.
Edit your "layout/customer.xml"
Add below code
<remove name="auth-redirect" />
under
<customer_account_login>
Also If you want users to be able to create an account, another good one to make public might be place code under
<customer_account_create>
in "layout/customer.xml"
If you want to make the home (front) page public, add the "remove" code to the 

<cms_index_index>

That's it you are done.