I believe its too hard to satisfy everybody's needs about password protecting the directories. The server side solution is really nice but yeah, need a little bit of help for those who are not related to hosting software...
Nevertheless, there are good programs on the market, that you can use to password protect the directories and are plain easy to use. The best of them are from CoffeeCup Sofware. Just take a look and compare wich one of them is best for you.
http://www.coffeecup.com/website-access-manager/
http://www.coffeecup.com/password-wizard/
I know you would like to have the password feature in Shozam and not spend money on another program right? Well, it's hard to get all the good stuff in a single package, and security matter... well, it's always complicated, but not impossible. I think we might have this feature in a major upgrade from Shozam.
Can you name a program as useful as shozam, easy to install, easy to use, etc.? I've used many but not all of them come even close. Sometimes you have to team up with different programs to have things done and working. Yes, all in one solutions are good most of the times... but sometimes, you have to team up with different stuff and so far, I can't complain, I have things up and running as I like.