Are you referring to securing directories/content against outside viewing? Or are you talking about a secure (read: SSL) connection?
If you're talking about content protection there's a number of approaches that can be taken from physically password protecting directories to masking directory locations and setting up password/login pages with indirect links to content and others. Some of this can be set up on the provider end, many times these will be 'adjustable' through the user control panel they provide you.
If you're talking about setting up secure connection (SSL) then you need to purchase an SSL Certificate (usually via your provider since it is server specific).
Without knowing specifically what you are looking for, unfortunately, can't be more specific in the help provided.