Clicking the "Protect" link in the Toolbar will display a form at the top of the page allowing you to protect the directory you are currently viewing by configuring a username and password that will be required to access it.

Once a username and password has be created, the url of the directory cannot be viewable from a browser without correctly providing the designated username and password. (EG. if you protected the directory 'foo', the url www.yoursitename.com/foo cannot be accessed without a username and password)