I have found this:
http://wordpress.org/extend/plugins/restricted-site-access/screenshots/
But, I need something a little different. Something like Jommla has for off-line mode e.g.: http://www.cloudaccess.net/joomla-2-5/89-global-configuration/207-offline-mode-joomla-2-5.html
But I need to be able to access the frontend and NOT ONLY THE BACKEND!
If I understand it correctly, you're trying to restrict access to your site while you're building it. So visitors not logged in see some sort of maintenance mode page, while logged in visitors can access the dashboard and see the front-end while they develop?
I think your best route is to use a plug in. There's several available for free on WordPress.org. I found this one that looked promising and has had regular updates..
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