Use a text editor such as Notepad to create a text file with something like the following in it:
Replace the /home/username/etc/ with the path to somewhere safe on your site. Save it as htaccess.txt. FTP it to the folder you want password protected. Rename it to .htaccess.
AuthName "This Section is Password Protected"
Use your text editor to create the .htpasswd file to hold the username(s) and password(s). Dynamic Drive has a good password generator here:
The file will look something like this:
Save the file as htpasswd.txt, FTP it to the path in line 1 of the htaccess file, then rename it to .htpasswd just as before.
Go to the page in your browser and it will now ask you for your username and password.