An .htaccess file is used to override the web server's global configuration for the directory it is in, and any directories below it. .htaccess files are commonly used for things such as allowing per-directory access control (password protecting), or URL rewriting.
.htaccess files are only supported on Apache web servers. They are not supported on the Microsoft IIS servers at DiscountASP.NET and Everleap. 
To password protect a folder or file, check out this knowledge base article.