.................... AAAAAAAAAAAAAAAAAAAAAAHHHHHHHHHHHHH!!!!!!!!!!!!!!!!!!!!!!!!!!!
What the hell am I doing wrong? I know I got it right once when I managed to get everyone to stay in a room with a constant stream of "canceled task, cannot reach so and so storepile" messages but when I open the gate to try and let some immigrants in a half dozen fishermen decide "Oh, this is the perfect time to head down to the stream!" and go tripsying out the front door and straight into the loving arms of goblin spearmen. Then dozens more come pouring out to grab their stuff...
I have one large burrow that covers most of my base with the exception of the fortified front door. I click "Active/Training" and get the CIV marker next to it, the burrow has a large A next to it. I've tried it both ways, with or without the A (Why A?! What does that mean?!!) and neither way seems to make them at all inclined to get back inside.
Oh, and the Dwarf Wiki gave me a nice laugh.
"Note that burrow restriction replaces the 'Dwarves may/may not go outside' order that was in the older versions. By default, the civilian alert level is set to 'Inactive' and no burrow restrictions apply. If you intend on having your Dwarves stay inside at any time, for any reason, you will need to create a burrow. See Military interface for a step by step walk-through."
http://dwarffortresswiki.org/index.php/DF2012:Military_interface