Are you using the built-in navigation bar? There isn't much you can do on how that works. One idea is to use DoCMd to go to the last record and then to the first record on the Open even of the form.
I can't rememebr if I've evered tried that or not. My preference is to to create my own navigation buttons. I prefer this approach because you have more control on how the user can navigate. I've got two sample files on my site that you might be interested in;