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I believe I may have just responded to you via email but I'll put down my response here as well.
Here are the steps to add the Password Protection feature:
1. Click on the Site Manager tab.
2. Click on "Site Password Protection" underneath the list of pages of your site.
3. Add a login name and password and tick the pages you would like to protect.
4. You can easily protect all your pages by clicking on "Lock All" or take off the password protection by clicking on "Unlock All"
5. When you create a new page, you will see a check box that gives you an option to protect (lock) the new page.
6. Preview your protected page to see what the login form will look like and to test your log in and password.
7. To make the change effective on your live site, click on the green "Publish to the web" button.
Please let me know if you have any trouble with this.