Rachel Cunliffe has a nice little write-up about how to password protect your WordPress site. I would add this to her list:
Check with your web host. Sometimes you can simply make a change on your control panel to password protect your site. My host 1and1, for example, provides this simple method in their FAQ section.
Michael Pollock is an Online Business Coach. He offers coaching, consulting and training that supports Conscious Entrepreneurs in their quest to make a difference in the world while making a comfortable living doing so.