When inside of cPanel, in the Password Protection Screen you can click on the little folder pictures to go deeper inside of that folder.  So say you wanted to password protect a folder inside of the public_html folder, just click on the folder picture next to the public_html text and then it should take you inside a level deeper where you can find the folder you need.  Also check the video tutorial we have on this here:

http://www.lunarpages.com/tutorials/