It's actually quite simple to create a private, or "Password-protected" event. Familiarity with creating Price Tiers is essential to understanding this process, so if you need a refresher check out How to Create a Price Tier and How to Create Hidden Price Tiers before continuing.
To create a private event, you need to make all your Price Tiers hidden by creating codes for them. That's it. By hiding all your Price Tiers, your registrants will need to have the code to at least one of the Hidden Price Tiers you created.