We have lots of our documents on the site, can I make it so people have to put in a password so it can be protected
You can make it so that only members of the site can access the content, if you wish to. (i.e., logged in users who have joined your site)
You can either create a "Private Area" of the site which only members can access, or if you're using Our Files you can set the permissions on the specific folders that you want to protect from public view.
Have a look in the documentation for information about Permissions.