JavaScript
Gate Keeper Password Protect
More Google results
JavaScript security on HotScripts.com
.htaccess
Mosaic User Authentication Tutorial
Authentication, Authorization, and Access Control
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You can use
http://uptime.netcraft.com to determine what type of Web server you are using (i.e., if you're running Apache). For example,
GreekChat.com is running Apache.
If this seems a bit over your head, then definitely go with JavaScript protection.
Also, remember that these methods do not absolutely secure the directories you set them up to protect, so you shouldn't put really sensitive material online *anywhere* on your Web site. That is to say, a non-member may somehow get ahold of your password and spread it around. Better to be safe than sorry. I use password protection to hide our members' contact information (addresses, phone #'s, email addrs., etc.) from the general public - that's it.
If you have questions, just ask. I'll try to help where I can.