Login to your Plesk control panel at http://yourdomain:8080/ and go to the Password-Protected Directories section.
Click on Add Protected Directory.
Enter the full path to the directory you want to password protect. Enter a Title if required and click OK.
The newly protected directory should now show in the Protected Directories list.
Click on the directory name and then Add User to add an authorised user and password. Fill in the username and password fields and click OK.