Have the link also use an anchor so the browser has a reference to fall back on.
Throw one of these at the beginning of each of the pages with a unique name
attribute.
So your links would be:
<a href="page.html#first">Load the first page</a>
and the page HTML would have this at the top somewhere:
<a name="first"></a>
Funny you made this post cuz I've got the exact same problem right now with this site I just started making yesterday: http://asims.fleeceitout.com - had to put arrows everywhere to keep people from gettin lost haha. I'll end up taking my own advice here but I'm too lazy for now. Plus I'm trying to see how much of the site I can make without a single <a></a>
used.