To setup a Protected Directory:

1. Login to your Plesk control panel
2. Click on the Protected Directories icon
3. Click on Add New Directory
4. In the Directory Name field enter a name for your directory after the '/' and click OK
5. Click Add New User
6. Fill in the New User (this will be the login) and Password fields and click OK

Your Protected Directory is now created.  To view it, click on your domain name at the top of the screen which will take you back to your main Control Panel screen.  Click on the File Manager and then click on the httpdocs directory, where you will see your new Protected Directory listed.  It will be empty, but you can use the Copy/Move link to move any file in your other directories into it.  And of course you can click Add New File to upload any new file into it.