1) First you will need to FTP to your site and create a folder.
2) Once that folder is created, you will need to contact support (1.877.323.4678, option 4 or email@example.com) and have the support person turn on Directory Browsing for the folder you created.
** You can stop here and allow everyone access to your files in this folder by browsing to www.yourdomain.com/foldername **
To password protect the folder:
3) This is all done through the WebControlCenter, so once you're logged in, go to Site > Site User Admin. Here you will need to add a user. - Remember that site usernames must be unique.
4) Once the user is created, go to Site > File Permissions and click on the folder you want password protected (the one you just had directory browsing enabled on) and click 'Add' at the upper right. From the dropdown menu select the newly created user from the previous step and give them Read & Execute permissions on the folder and click 'Save'.
5) The last step is to go to IIS > IIS Permissions. From the folder list, select the folder for password protection and uncheck 'Allow Anonymous Access' and 'Allow Anonymous Access for SSL'.
6) If you browse to www.yourdomain.com/foldername you should be prompted for a username/password. Once you enter the username and password, you should see a list of files to download