It's a bad idea -- any method that will work will also prevent visitors from bookmarking pages of your site. It also removes valuable feedback (click a link, the URL changes).
If you really, really want to do this, however, you can enclose your entire site in a frameset. The URL of the frameset (say http://www.somewhere.com/) remains displayed even as visitors load other pages into that frameset.
Sometimes this can be useful. What I would do is make the page have two frames. The top frame is only 1 pixel high....but it is set as the main page. Then put your content on the bottom frame. To see an example browse through http://www.buydomains.com and you will see the address never changes. And I believe that with frames there is someway to keep the bookmarks working. Hope that helps!