I'm not sure what technology your web site uses, but for an asp or asp.net web site you would replace each old page with the following lines of code (in VB or VBScript):
Response.Status="301 Moved Permanently"
Response.AddHeader "Location","http://your.website.com"
In PHP it would be:
Header( "HTTP/1.1 301 Moved Permanently" );
Header( "Location: http://your.website.com" );
substituting the page you want to link to in the above examples.
If your web site is just HTML, I believe you can do it with htaccess (on a Unix server) but I don't know much about that.
301 redirects are worth doing if your web site is well ranked. It "officially" tells the search engines that your page has moved.
Alternatively you can just specify a 404 page as a general catch all for any page that is not found in your web site, but this is not as good for the search engines.
Jenny