Going directly to a protected page doesn't work

I have a problem on one of my sites whereby if you try to go directly to the URL of a protected page, i.e. www.mywebsite.com/protected/page.php, it will take you to the login page as it should, you login but then you get the unsuccessful login page I've set up, i.e. access-denied.php. As long as you're already logged in though and you try to access the page, it will load no problem. I've checked the settings on the login page and have both "Pass original querystring on redirect" and "Go to previous URL(if it exists)" checked. I want to be able to email users with a direct link to certain pages but instead I have to just give them the link to the login page and then tell them to go to the specific page, which isn't ideal. Any idea what might be causing this?