Some time ago I wrote a tutorial Password Protection in FrontPage that showed you how to set up password protection for a folder if you were hosting you site on a server with frontpage server extensions installed. That same process is not available in Expression Web.
The Expression Web Team Blog has an article Manage your FPSE Site permissions without using FrontPage 2003.
When former FrontPage users first start using Expression Web, a common question is “How do I edit the permissions to my Website or subweb?”.
While FrontPage 2003 provides users the ability to manage permissions to their FPSE Website through an Administration Website linked to from the application, Expression Web doesn’t provide the same level of integration.
When using FrontPage 2003 to edit your FPSE Website or subweb, users can manage its permissions by using the Tools -> Server -> Permissions menu. That will bring up the Administration Website for your FPSE Website on your Web browser.