To a apply Password Protection to a particular gallery you can head to the Library / Galleries section of your account and click on the Edit (pencil) icon associated with the gallery you want to edit.
1) Hit Library
2) Click on Galleries
3) Roll over the target gallery and click the Edit (pencil) icon.
4) Now click on the Privacy and Security section.
5) Fill out the Set a Password field.
6) Make sure you hit Save at the bottom of the page!
You can also provide a Request Password message here if you like, inviting visitors to provide certain information in order to request access to the gallery.