I would use Server Side Programming (like ASP, JSP, CGI, etc.), but you may also do it using JavaScript. But I'm not sure that JavaScript is secure enough.
Eugene's method of server side programming is the best way to use authentication. I just wanted to say though that you dont necesarily have to program this yourself! A good web host will probably provide a script that can be used to put a password on a section of the site, so shop around when choosing a provider and see what you can find!
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