Is this on a public web site cos the easiest way, without any effort on your part that is

is to ask you ISP if they can create a password protected folder for you.
There are loads of techiques to do it yourself - do a search on "password protect your webpage" and you find software and examples or for "Javascript password protect" - an example
here though this is not very secure you can always view the source code for any web site (even if you use a "disable view source script").
If your willing to pay for software
Coffee Cup makes good stuff, there is a 30 day trial

or maybe
this again with a free trial