There is a place in the control panel under

Services  --> Protected Directories    

Then Select -- >  Add protection for a new directory.

Select "sub-directory" and type in the name of the folder.

The "Authentication realm" needs the name that will be shown in the login box.

Then go to "Edit Mail and FTP Users"

Add a user and set the password.  And under "Other user permissions"  
select the directory you added the control too...