“this blog is private” — how do you do that?

Surfing the net this morning I ran across two blogs @ WordPress.com that gave me a login screen and the warning: “This blog is protected, to view it you must log in.” I thought that was a spiffy idea! Is there any way at all to make this possible on a self-hosted blog on my own domain?? I have a blog wherein I’ve marked almost every post “private”, but if anyone sat down at my computer and came across that blog, he’d be able to read every single post — or if someone surfing the net somehow came across that blog, I’m afraid someone could then cause some issues for me (because some people are just that way). So – how do I make a blog on my own domain private?