Hi Naomi... I know it CAN be done...I've seen a few private galleries.. But I don't know how to do it.. I think it's specific to galleries rather than individual pictures, and I reckon behind the scenes is the place to do it. good luck!
Under gallery description there is an option for password.
The images in this gallery will not be visible to the general public. If you want visitors to view these images, you will have to provide them with the password that you specify, above.