Well, I went for it myself and copied a row from admin-header.php to wp-blog-header-php (below). As far as I can see, this password protects the whole blog. As a non coder I ask you all; is this solution ok, or am I missing something vital?
if (!file_exists(dirname(__FILE__).'/' . 'wp-config.php'))
die("There doesn't seem to be a
wp-config.php file. I need this before we can get started. Need more help? We got it. You can create a
wp-config.php file through a web interface, but this doesn't work for all server setups. The safest way is to manually create the file.");
require_once(dirname(__FILE__).'/' . '/wp-config.php');
require_once(dirname(__FILE__).'/' . 'wp-includes/wp-l10n.php');
//added this row