No; the Archive Utility cannot create or open password protected zips, even if you know what the password is. Use the Disk Utility in the /Applications/Utilities/ folder to create an encrypted disk image and zip that. If you want a cross-platform solution, use
TrueCrypt.
If you whant to have a place in your Mac to have your important files with password then you have to go to:
Disk utility; new image; and you fill the window were you put the size of the image disk and the name, the encrypt use 128 or 256 and then when the window appears to introduce the password uncheck the password remember.
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Archive utility with password
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