zero2: You can google "htaccess" for a ton of hits with different tutorials and such. For example, here's one:
http://www.freewebmasterhelp.com/tutorials/htaccess/
If you are unable to do this, or want a more comprehensive password protected system, check out:
http://celerondude.com/index.php?a=s&id=1
The above linked is an "uploader script" which allows you to password-protect content and allow others (or just yourself) to up load through a web-form. It may or may not be what you're looking for.