You can use the umbracoInternalRedirectId instead of umbracoRedirect to load a page without changing the user's URL.

This method won't totally mke it look like you are on that page, though, as any menus which highlight the current page will think they are on the target page. It also means you will have more than 1 URL with exacly the same content on it, which is a bad thing, especially in terms of google page rank.

If you do decide to make this change, you can't just change the property alias in settings - I would advise you to make another property with the alias umbracoInternalRedirectId, type content picker and then go through the content changing the new property to be the same as the umbracoRedirect property - then delete the node chosen in umbracoRedirect (I think it will take precendence over the new property)

Alternatively - if you mean something different - that you want the redirect to go to the target URL without the intermediate link, you would have to rewrite your menu macro to check each node if the umbracoRedirect property is filled in, and then write out the url of the page the redirect is set to. Something like the following inside your xslt somewhere:

<xsl:choose>
  <xsl:when test="./umbracoRedirect $gt; 0">
    <a href="{umbraco.library:NiceUrl(./umbracoRedirect)}"><xsl:value-of select="./@nodeName"/></a>
  </xsl:when>
  <xsl:otherwise>
    <a href="{umbraco.library:NiceUrl(./@id)}"><xsl:value-of select="./@nodeName"</a>
  </xsl:otherwise>
</xsl:choose>

Hope this helps