There isn't a built-in way to password-protect a hard drive. It is possible to buy utilities that will do it, but I stopped using them because when the companies go out of business the utilities aren't upgraded any more.
What I do is create an encrypted (password-protected) disk image on the external hard drive as described in the link in the post before this one.
Use Apple Disk Utility to create a disk image as large as the drive capacity, and use the password option. Unfortunately, this adds an extra step because you have to mount the drive and then mount the disk image, which will ask you for your password. When you're done, you have to unmount the disk image and then unmount the drive it's on.
Despite the extra steps, the advantage of this method is that it is supported at the operating system level, so compatibility or a future migration path can be counted on.