And here is the link I got, its quite good. http://www.icurtain.co.uk/getset.php, It saved my time.

Look at the following code:

 
 
 
Authorization Failed
 
Without a valid username and password,
    access to this page cannot be granted.
    Please click 'reload' and enter a
    username and password when prompted.
 
 
 ";

if (!isset($_SERVER['PHP_AUTH_USER']) || $_SERVER['PHP_AUTH_USER']!==$site_user || $_SERVER['PHP_AUTH_PW']!==$site_pass)
   {
       header("WWW-Authenticate: Basic realm=\"Protected Page: Enter your username and password for access.\"");
       header("HTTP/1.0 401 Unauthorized");
       exit($failure_msg);
   }

?>

For each page, you want to authenticate user, each page must have the above code. You can save this code to a script (for example auth.php) and include auth.php to any page, hence save yourself from rewriting the code for each page.