Why don't you have the redirect pass a variable and if that variable exists then don't redirect anymore?
User gets redirected to
http://www.ukbusinesslive.co.uk/warning.html and then when that is done, they get sent back to index.php except the url would be index.php?myscript=done. And then on the page, if $_GET[myscript] == done, don't redirect again?
A cookie would work also (as you said). Look in the API to see about a function to set cookies using vB.