Password Protecting Directories
Generally, a hosting company provides cPanel, Plesk, or other domain control panel or dashboard so you can manage the server aspects of your web site. Also generally, the control panel or dashboard will let you password protect directories.
If your hosting company does not provide the means to password protect directories, or if you want to protect directories with a different method or protect individual pages, here is a list of articles at Willmaster.com that contain how-to information for exactly that.
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Cookie Protected Directories (similar to above, but slightly different slant)
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Password Protecting Directories with HTTP Authentication (links to off-site articles)
Will Bontrager