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That depends upon what level of security you need and what you have available. The most common method is to activate a session variable using ASP, PHP, etc. You test for the presence of a session variable and it's value. If the value is OK then show the page, if not, you send them to another page of your choosing. You can choose to encrypt these variables, require confirmation of the variable, such as a password, to prevent hackers who steal the session variable from getting access to very sensitive information. Always require re-logins to very sensitive info.
In addition to the server side scripting method listed above, you can easily add password protection to any folder in your site using web server security located in your host control panel.