As far as I know, there is no way to password protect a plain vanilla video file directly. Online, you can post to a restricted site which requires a password. When I distribute video outside of such sites, I have sometimes locked it inside an executable file that demands a password -- not within a Winzip file (although that would work) but using an authoring tool like Opus Pro from Digital Workshop (an interactive media authoring tool). Creating that kind of file is a non-trivial effort, however, as it also involves creating playback controls, password entry blanks, etc. all within the authoring program.