This can be requested through your Control Panel. It usually takes about 24 hours to be setup. Once you receive your confirmation email you will find the following:
A directory at the same level as your /html directory called /passwordfile. Inside this will be a .txt file with the same name as the directory you asked to be protected. This is your password file. One username:password per line. Each directory needs to be requested separately through the controlpanel. Microsoft FrontPage cannot be used to edit any content in these directory's. You must use FTP to upload new content.