When you look at the HTTP response headers (e.g. by using curl -D - http://...
on the console), you'll see that SO answers with:
HTTP/1.1 301 Moved Permanently
So it's an HTTP redirection.
In regards to search engines like Google it can be important in order to prevent duplicate content.
For PHP have a look at header(): http://www.php.net/manual/en/function.header.php
Use:
header("HTTP/1.1 301 Moved Permanently");
header("Location: http://www.New-Website.com");
If you only issue header("Location: ...");
PHP will send a 302 redirect.
Side note: According to this QA SO didn't do this back in 2010.