Password Protect Directories is option will allow you to require a username and password to access a folder or folders from the web. This can be very useful when you need to limit access to a certain part of your site.
How to use Password Protect Directories?
Click Password Protect Directories icon at Security tabs, see this picture
And click the folder to protect
At least Create User to protect your directory, enter new user and click add/modify authorized user.
Thats all, now when you access the folder site, it will appear and prompted valid username and password.