There are several methods that you could use.
The simplist is to navigate in the panel to Goodies > Htaccess/WebDAV
Select the site on the next screen, then on the form that follows put s check on Password-protect this directory, and do NOT check the Enable WebDAV box (this is something else it's not compatible with what you want-there's a warning about it at the bottom of the page.). Now add a username and password as shown (clean out the extra entries there as well). Save the form with the blue button at the bottom.
Once these settings take effect, browsers will ask the extra user/pass you just created before the site is shown.