Alexandru, redirecting user to external website when they are trying to open YOUR site is pointless.
What you basically would like to do is to open another website instead of yours under your URL.
There are several ways to achieve this without using pages and menus.
Method #3 ( using .htaccess) given here: http://www.wikihow.com/Redirect-a-URL sounds good.
This method will open external page instead of your site, so you will need to make sure that the external site have a link back to YOUR site.
If you can explain why you need this feature, I might help you more.
Alexandru, I am sure that there are a lot of other better ways to do this. But here is easiest solution ( but not the best):
Create a new local page in admin panel>>pages&menus
1. page title and menu title: "sign-in"
2. visible for "guests"
3. in the page content add:
<meta http-equiv="refresh" content="0; url=http://www.yourdomain.com/sign-in" />
Move this new page to the first place in pages&menus.
How this works:
User opens your site>>system redirects to your new local page>> system reads that this page has a redirect>>system will redirect to /sign-in.