kwdavids, an example index.php (for the root of your blog, not the index.php with your theme) to get you going:
<?php
$siteurl = 'https://my-blog-site';
$cookiehash = md5($siteurl);
if(empty($_COOKIE['wordpressuser_' . $cookiehash])) :
header('Location: '/wp-login.php');
else :
define('WP_USE_THEMES', true);
require('./wp-blog-header.php');
endif;
?>
Provide the same address for $siteurl as the one for the WordPress address (URI) setting in Options > General. It has to match exactly. And in the header() argument make sure ‘Location’ is correct for the path to wp-login.php. Alternatively you can point to any document (of your own devising), or display a modified login, or whatever you feel is appropriate.
Kristina, a couple plugin options you could take a look at:
https://blog.firetree.net/2005/08/25/viewlevel-20/
https://gregelin.com/archives/index.php/3