To create a password protected page, start by create a page as normal. by going to your Dashboard, and then Pages > Add New.
In the page editor, you will see that in the 'Publish' box, there is a setting called 'Visibility'. By default this is set to Public. To make the page password protected simply click 'Edit', next to where it says 'Public', and you'll see three options: Public, Password protected, and Private.
Public is the default, and does what you'd expect: make your page visible to everyone, while Private will hide the page from everyone, including Search Engines, except for yourself and any other Editors or Administrators.
Password protected is the one you want. Choose password protected and you will see a password field, where you can choose the password. Now, whenever someone tries to access the page they will need to enter the password.
Be aware that any Private or Password protected pages will still appear in any menus that you have put them in. Users without access to Private pages will simply get a 'Page Not Found' error when trying to access it, while users trying to access a Password protected page will be presented with an opportunity to enter a password to gain access.