in the real sense of the word can be a bit of a sledgehammer/nut situation for the average webmaster. A true secure site has to run on a secure server, and there are additional technologies involved - it's not cheap. In most cases it's not necessary either, you can paswword-protect a page (or several pages) quite easily.
One way of doing this is to run the site on a Windows server and create a workgroup, into which you place all your intended users. Each user has a username/password combination, and anyone who clicks on a hyperlink that points to the protected directory (or file) will be challenged by the server. This is a very robust method of protecting server files or directories, but it has drawbacks. You must run on a Windows server, and the server administrator has to add/remove workgroup members. Under normal circumstances the server administrator is your web host, and so this method isn't easily workable.
Probably your best bet is to use one of the excellent password utilities that exist in large numbers. Quality and ease of use can vary, and my personal recommendation is the Coffee Cup password manager. It will cost you $29 but frankly it's a bargain. You can even use it to direct different users to different pages - if you have special pages for individual people for example.
To find out more
click here there's even a free trial download.