It depends on their level of access and the protected link they click on.
For other users attempting to access a Page/File that is within a Private Folder they have access too, then the user will be redirected to the Page/File requested upon successful login.
If a user clicks on a link to a login page itself, then the user will be directed to their own "My Start Page" if it is defined in their specific User Account, or their My Account page.
If a user clicks on the liveSite directory (e.g. /livesite) to login into the Control Panel, they will be taken to the Control Panel's Welcome Page, if a My Start Page is not defined for them.