You can download smartFTP from www. smartftp.com and log into ftp via that.
You can then easily create folders in there.
If you are wanting to password protect a certain folder, you are best doing this via a file called .htaccess.
If you call your folder "private" then in the file .htaccess you would put the following
Code:
AuthName "Section Name"
AuthType Basic
AuthUserFile /full/path/to/.htpasswd
Require valid-user
Then in another file called .htpasswd you would put the following...