To install you will need to login to your hosting control panel and then go to
Security > Password Protection

You will then be prompted to set the folder you want to configure this option for along with the username/password that you want to set.

After this has been configured you will be able to find details of the configuration along with options to remove and update the password underneath this section.

When you next browse to the specified folder (
http://mctesting.co.uk/test in this example) you will be prompted for the username/password you have just configured.

The example given shows the prompt in Firefox, this will appear in a slightly different way depending on the browser you are using.