how do you set a security password to control access to an external hard drive?

The only way to reliably protect data, especially on an external hard drive, is to encrypt it. Permissions don't have to be respected. One way to encrypt data is to create an encrypted sparse bundle disk image with Disk Utility. See:

http://support.apple.com/kb/HT1578

(Be sure to use the 256-bit encryption.)

Alternately, you could use some whole-disk encryption, though I have no experience with any of the software for doing that. You could try the following:

http://www.truecrypt.org/

I don't know that I would recommend the product being advertised inappropriately by keynesis.