If you are using Form Authentication then you need to check is user is Authenticated or not using IsAuthenticated property on each PageLoad Event of the WebPages or on MasterPage.
If user is not Authenticated the you can simply redirect user to Login Page with the current page value as ReturnUrl as Query string so onces user login in login page it will check is ReturnUrl is exist then it will redirect to the return url page else it will redirect to default page where you want to redirect.
On Each Page or in master Page just check this condition and if user not authenticated then just redirect it to login page with return url QueryString value.
if (!this.Page.User.Identity.IsAuthenticated)
{
Response.Redirect("~/Login.aspx?ReturnUrl="+Request.Url.AbsoluteUri);
}
Onces user login from login page chek if any ReturnUrl value exist or not if exist then redirect the user to the respected url else on default url.
Also refer the below article link for your reference for your understanding and implement the login as per your design and code logic in your code.