Stop link from leaving original page iframe

Hello every one I am stuck I am trying to make a site that is to be use with my system only that will allow the user to browser the internet in a iframe. It is written in php and uses GET to get the page that was requested and it shows up in the iframe, the only problem is if the person clicks on an external link the entire browser goes to this external like when I want the session to stay in the iframe. Anyone know if this is possible?

Thank You to who ever responds.