Yes, you can do this either by using the panel, or by creating a .htaccess file manually.
For the panel method; Go to Goodies -> HTAccess/WebDAV in the panel, click on the relevant domain, click on configure a new directory, enter the directory you wish to protect in the top text box, enable the Forbid linking to files in this dir? checkbox then click the Configure this directory button.
If you prefer to manually create or modify your .htaccess file, see the wiki article linked below.
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