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All password protected directories are created through the cpanel control panel. The cpanel control panel is located by typing http://www.yourdomainname.com/cpanel , then logging in with your user name and password.

In Cpanel, located the link to password protect directories
Click the link, and you will be given a list of all directories within your website.
Click the directory you would like to have password protected
Then you will be given the option to create a password for the protected directory.

Underneath the password section, there is another section where you may allow different users into the protected directory.