I guess you shared it via samba?
via the build in samba it's not possible to set up passwords, for that you really need optware samba.
What you could try is making it only available through password protected FTP.
there isn't a real way to put a password on a harddrive tho...
if its really sensitive, i'd recommend truecrypt: http://www.truecrypt.org/
you save a image to your usb harddrive, that you can mount as a harddrive on your own pc when you know the correct password. in the image you can store anything you like, and it's pretty much uncrackable