I would like to lock whole WordPress site (all pages, all posts, whatever content I will add in the future) with login page same as for example it is made here (clear your cookies) http://facebook.com.
How to achieve this functionality?
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You can use Absolute Privacy plugin for your purpose.
This plugin turns your WordPress blog into a fully private site where you control who has access. It's perfect for family blogs, private communities, and personal websites. You can lock-down the entire site or create a members only area, moderate new registrations, force users to enter first/last name and choose their password during sign up, and more!
Hope this will helps you.
A very simple way to quickly password protect your WordPress site with a single password. This plugin only protects your WordPress generated content. It does not protect images or uploaded files so if you enter and exact URL to in image file it will still be accessible.