It could be done with a cookie however it's a bit of a legal minefield at the moment for UK websites.
For those not familiar watch this: http://www.youtube.com/watch?v=arWJA0jVPAc
Most webmasters are ignoring it but it's an uneasy standoff and many eyes are watching what other .gov sites decide to do as many of them are not wholly complient either.
Would suggest using the 'referer' element, this will tell you what domain the visitor came from eg: Google,Bing, Yahoo etc or yoursite.co.uk
the logic being in the referer value is anything other than your website then show the welcome message.
<!-- Hide script from old browsers : place inside the BODY tags
if (document.referrer != 'yoursite.co.uk')
document.write('Hello and welcome blah,blah,blah ');
//-- Stop hiding script -->