This is for people who need to protect their blog with username and password that can be easyly set from the WordPress backend.

1. Go to Users → Authors & Users sub-panel.
2. Add a new user in the Add New User section. This login will be used to access your WordPress by other user. Or go to Settings → General → Membership and check “Anyone can register”.
3. Add the following lines to your WordPress Theme’s template functions.php file (For example, functions.php file for a Theme named “default” would probably reside in the directory wp-content/themes/default/functions.php) or create it as a Plugin by filling the additional Standard Plugin Information:

    <?php
    function password_protected() {
    	if ( !is_user_logged_in() )
    		auth_redirect();
    }

    add_action('login_head', 'rsd_link');
    add_action('login_head', 'wlwmanifest_link');
    add_action('template_redirect', 'password_protected');
    add_action('do_feed', 'password_protected');
    ?>

4. Go to Settings → Discussion sub-panel. Under Default article settings, uncheck “Attempt to notify any blogs linked to from the article (slows down posting.)”.
5. Finally, go to Settings → Privacy and set “Blog Visibility to I would like to block search engines, but allow normal visitors”. Click Save Changes.

Now visitors will be asked to log in using WordPress login form to view your WordPress blog / site. This is very suitable for someone that wanted privacy or owned a private password protected WordPress blog / site.
It can be used with the plugin wassup for visitors tracking.