This depends. Typically this isn't delegated the same way as Apache does. However if you are looking to password protect your site and you're using ASP.NET, you can do this with the authentication and authorization elements. This is set in web.config. To research and get up to speed, do a google/bing search for "authentication authorization asp.net".
Additionally, if you are using IIS7, then you can set this in
<system.webServer> which will apply to all file types.
If you need to change the authentication type from windows to basic, that's something different again, and will require the server administrator or a control panel to help with that, but I suspect that it's just password protection that you need.
Here's an example that may be what you need:
Assuming that you're using asp.net and you want to password protect your site, create a file called web.config in the root of the site and place the following in it:
<allow users="?" />