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There are more complicated ways to do this than what I'm going to suggest, but depending on what your needs are, this might do the trick.
Most (all?) hosting services provide a control panel for you to use to set various parameters for your site. One common control is password protection for folders. If you only need to provide a password to a few people, this is the simple answer to your question. If you are going to have people registering on your site & creating passwords, you'll need a database & some server-side scripting.