You can't set a password on a directory per se. What you can do is only
allow certain users to access the directory. In the case of the folder
you are talking about, it is probably accessible to everyone, and that's
not a bad thing, as long as "everyone" means everyone on your LAN or
workgroup.
In your case, I would say the best solution would be to disable file and
print sharing for connections coming into your lan. If you have a
firewall or a router with NAT protection, you should be able to specify
that you only want file sharing to occur within your LAN.
If you have one of the common Linksys or Netgear routers and you haven't
messed with the settings, it is PROBABLy safe already, but you should
definitely verify that by trying to connect from outside. Or go to a
web site like
http://www.grc.com and use their "Shields Up" service to
see if your shares are vulnerable.