Function Reference/auth redirect

Hi,

I need a function that will redirect a client if the client isn’t logged in, but I don’t want the client to be redirected to /wp-login.php, but to another WordPress-install located on a subdomain of mine.

I don’t know very much PHP, but with Google I found this function:
http://codex.wordpress.org/Function_Reference/auth_redirect

And I was wondering if it would work if I edited it so it would redirect to another URL than /wp-login.php. But I don’t know how? Or if this is the best method of doing it…?

<?php auth_redirect(); ?>

Would you please give me tip on how to do it? 🙂

Thanks,