To setup password protected directories within cPanel, login to cPanel, click on "Password Protect Directories", Click on the directory name that you wish to password protect (click on "/" to protect your whole site). If you cannot see the directory you wish to protect navigate by clicking on folder icons until the directory name that you want to password protect is visible. On the next screen, tick the checkbox labeled "Directory requires a password to access via the web" and enter a name in the "Protected Resource Name". This name can be anything you want (such as "My Protected Area") and will be displayed in the users web browser when prompting for their password. Then click "Save". On the next screen click "Go Back" to return to the password protection page.
For each user that you want to allow to access the protected page you must enter a username and password pair, then click the "Add/modify authourized user" button. You can come back to this page later and add more users, delete users or change their passwords.
Visit the protected page using your web browser and you will now be prompted for a username and password before being allowed to view the page.
You can view a flash tutorial showing how to setup directory password protection at: