Yes, Peter and Susan are told at the end of Prince Caspian that they cant come back anymore. The books are great; I would start with The Magician’s Nephew because it really is the first - all about the creation of Narnia.
The order in which they are meant to be read is a hot topic amongst Narniaphiles, and Wikipedia actually has some good info on the topic...http://en.wikipedia.org/wiki/The_Chronicles_of_Narnia#Reading_order
At that entry you'll see Lewis's own thoughts on the matter as reflected in his reply to the inquiry of a fan...
"I think I agree with your [chronological] order for reading the books more than with your mother's. The series was not planned beforehand as she thinks. When I wrote The Lion I did not know I was going to write any more. Then I wrote P. Caspian as a sequel and still didn't think there would be any more, and when I had done The Voyage I felt quite sure it would be the last, but I found I was wrong. So perhaps it does not matter very much in which order anyone read them. I’m not even sure that all the others were written in the same order in which they were published.[12]