Start by opening Microsoft FrontPage:

Once FrontPage has opened select File followed by Open Web

Type http://www.yourdomain.co.nz into the Folder Name field (remember to replace
yourdomain with your actual domain name and be sure to include the http:// before it). If you want to
password protect your entire site, skip the Convert Web step below.

Next select the folder you wish to protect and click Convert to Web, then select it again and
select Open.
Select the top level folder shown (usually the Web Folders name)

Once selected go to: Tools->Security->Permissions

On the settings tab of the next screen select Use unique permissions for this web and click Apply
(Note: This is only shown if you are protecting a web folder, if you are doing just the site you won't see this
screen)

Now select the next tab Users and click the Only registered users have browse access option at
the bottom of the page.
Click Add

Enter the username and password you wish to assign to this directory into the username and password fields.
Select Browse the Web to allow them to only see the website content and then click OK.
To add additional users, just click Add and then repeat this step.
When you are finished click the various OK buttons until you are back at the main FrontPage screen again.
Now visit the location on your website and you should be asked for the username and password to view the folder.