Login to Plesk Control Panel at https://plesk.colony1.net:8443/

Once logged in go to 'Domains'
Click on 'YourDomain'
Click, Password Protected Directories (under Files Tab)
Click, Add Protected Directory

Directory name: 
(Specify the path to the directory in your site, (eg. /files). If the directory does not exist then specify the directory name path and it will be created or first create it through FTP.)
*Note you should not put spaces in directory or file names as when you email someone the URL it will not auto link the full url in the email because it has a spaces.  Instead use underscores "_".  Else if you still have to use spaces then when providing a link first browse to it so it adds "%20" in the space slot and that might allow the link to be clickable in their email.

Header Text:  (Name shown in welcome message to users)
Click, OK

Now you will want to create Web Users to access the protected directory
Click the Protected Directory you just created
Add New User
New User
Password
Click, OK

Now if you browse to the protected directory you should get a user/pass prompt to access. eg. http:// {Your_Domain} / {Protected_Directory_Name}/

Password Protected Directories is a good way to allow only certain users to access directories that contain files to download or view such as PDF's.
To View a File, Click any File or Folder
To Download a File, Right Click the File and choose (Save Target As) or (Save Link As) to save to your Computer.