From Joomla! Documentation
Most PHP files within Joomla! begin with the following statement:
// no direct access defined( '_JEXEC' ) or die( 'Restricted access' );
This statement checks to see if the file is being called from within a Joomla! session. This protects your site by making it more difficult for a cracker/hacker to damage your site.
However, this line should NOT be included in your main index.php file, since this is the program that starts the Joomla! session.