You cannot password protect specific files, instead you must password protect an entire folder and then any files within it are automatically password protected. For example – here’s your folder structure:

/home/user/domain-www
the domain-www is the folder you place all of your files in for people to access your site. Lets say you have a set of files that you want password protected. You would simply create another folder in the domain-www folder – lets call it protected.
Now you would have:
/home/user/domain-www/protected/ – upload all of the protected files into that folder. Then login to your control panel and choose the Protect Directories Option:

Then in the drop down box select:
/home/user/domain-www/protect
Click Load
Another form then appears with User ID and Password – then simply type in the username you want to protect the directory and the according password and click Submit.

You can repeat this as many times as you’d like to add multiple users to that directory.