Login in to Plesk as the admin user
Under Hosting Services click on Domains for which you want to create the password protected directory.
On the right hand you will see the list of the domains that are hosted on the server. Click on the domain for which you want to create the password protected directory.
Now you will see all the control options for that particular domain. Click on Password Protected Directories
Click on Add Protected Directory.
On the next screen type in the Directory Name & Title of the Protected area and then click OK.
You are done with creating the password protected directory.