I've been reviewing the Sitecore Security Admin Cookbook and several blog posts but can't find anything that talks about password protecting individual Sitecore content items. I've taken a look at the Security -> Require Login for an item but that seems to only affect the extranet\Anonymous user.
Edit: We've reviewed the client's needs and its for protecting Sitecore items to outside or anonymous users browsing the site. They don't want a user to stumble on a protected document, so our solution is to allow them to essentially lock this item to a set user role. So, if a user navigates to this locked item and is a member of this role then they will just need to enter their login information and they will have access to this document/media item. I've found a solution to the problem by just setting the security on this locked item to remove read access for extranet\anonymous and give only read access to the members of the specific group.