As long as your running linux, just use htaccess
Here are some sites that might help you out :
http://www.lowmemory.com/cgi-bin/crypt.pl
http://www.euronet.nl/~arnow/htpasswd/
http://www.javascriptkit.com/howto/htaccess3.shtml
If your living in windows world, speak with your host.
You wont be able to use htacess, but permissions on the /admin directory can still be set (basically removes 'anonymous access')