Password protecting a website using .htaccess – this method pretty much requires shell access, but most web hosts have a web control panel interface to do this work. It should be noted that this isn’t the most fool-proof method of protecting your data, and a configuration error can inadvertently open up your directory to the world.
An example for ICDSoft:
The option for this is called “Protect” on the Control Panel.
You can browse to a directory through this interface, and click “Protect It!” next to a specific directory.