Yes. This is easy. Number of ways doing it. All involve hacks. So the best solution is a plugin.
There is a plugin that will do it but it stopped working when WordPress 2.5 came out.
There is a solution here:
http://wordpresshero.com/hacks/secure-a-wordpress-blog.html/
Hey subimeyere here is what I would do, something like this:
<?php if (is_home()) { ?>
<!-- home - dont' show hyperlink to index.php -->
<?php } else { ?>
<li class="widget">
<h2>FF Hauptseite</h2>
<ul>
<li><a href="http://ffmagazin.com/" title="Zurück zur Hauptseite">Zurück zur Hauptseite</a></li>
</ul>
</li>
<?php } ?>
By using conditional tags we can set rules for when people are at different places. So if they are on the home page they wont see your link … if they are on any other page (else) they will.
Hope this helps.