GSP does not support hiding an album with *just* a password. But you can set up an album that is hidden from anonymous users. Then create a user account that belongs to a role with view permission to the album. Then pass out the username and password and - voila - you achieve nearly the same thing.
It is admittedly a bit clunky, so I do have it on my radar to implement a password-only feature for sharing albums.
Roger Martin
Creator and Lead Developer of Gallery Server Pro