Seems that it is missing from cPanel.
HOW TO:
1. Open/create .htaccess file in directory in question
2. Add lines:
	
	
	
		Code:
	
	
		AuthType Basic
AuthName "Igor's Secret Den"
AuthUserFile /home/igor/.htpasswd
Require valid-user
	 
 
Adjusting AuthName and file path accordingly (ie replace "igor" with your cPanel username)
3. Create a file .htpasswd in /home/igor  (replacing "igor" with your cPanel username)
4. Go to 
http://www.htaccesstools.com/htpasswd-generator/  and generate your username (does not have to be cPanel username) encrypted password pair
5. Copy into .htpasswd , save, and you are ready.
6. To add users, repeat #4.  To remove, change passwords, etc -- you can figure that out
7. To remove password protect, remove lines added in #2.
IMPORTANT:
x10 Admins are wary of password protected directories.
They will become curious and look, so don't try to hide violations of the T.O.S. behind password protected directories.   You are painting a big target on the contents of such directories.
Also, if you protect your 
entire site, it violates the TOS that yours should be a "public" site, even if the content itself is in compliance with the T.O.S.