PASSWORD PROTECT PORTABLE HARD DRIVE

Encrypt it.

It must be formatted with a GUID partition table in order to encrypt it. You won’t get an option to encrypt it if it isn’t.

It will be formatted APFS when encrypted.

There isn’t a way to set a password other than encryption.

If it's not your start-up-disk, but just an external drive with files on it:

Ctrl-click on the disk and choose "Encode". Enter a password and click "Encrypt Disk". If you connect the drive, you will need this password. Take care: To undo the password-protection for this disk, you will need to erase the disk.

It should be “encrypt,” not “encode.” But, see my post for why it doesn’t allow you to encrypt.