How do I password protect a folder on my website?

I assumed it would be through taking every users access rights and then adding teh users who I wanted to access it...

and for the most part that works on certains machines but on others they get an error

HTTP Error 401.3 - Unauthorized: Access is denied due to an ACL set on the requested resource.
Internet Information Services (IIS)

Its a Windows 2003 server

and alot of the users who seem to be having the probelm may be behind a proxy server.... any ideas appreciated (that don't involve tell all teh users to change thier network

you can disable unauthenticated users in the directory security tab.

that will require a login.