You can't protect it within Links. You should instead protect the whole /admin directory. How to do so depends on your server - might want to ask your server host about how to protect a directory.

There is also a mod listed in the Resource center. 'Password check for Links 2.0 Administration - This modification is for all who havent't protected their admin-folder. When you type in the admin-url you can see a password-form.'

John