If you want site wide password protection so visitors see a login prompt as soon as they enter the URL of your site in the browser then you will have to do it through the “.htaccess” file. There is a WordPress plugin for this:
http://wordpress.org/extend/plugins/askapache-password-protect/
Or you can do it manually by creating a .htpasswd file and attaching it to your .htaccess file. Here is a step by step tutorial for it:
http://www.elated.com/articles/password-protecting-your-pages-with-htaccess/