To set a password for you data room, open your data room and click on Sharing toward the bottom left. Next, click Share by link and toggle on Require password. Type your password and click Set password. Now when you share your data room via a link, the viewer will need to type in the password to view.
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See screenshots below

Open your data room

Click Sharing toward the bottom left

Click Share by link and toggle on Require password

Type your desired password and click Set password

Your password will now be set

Let us know if you have any questions when sharing your data room. Our team would be happy to help.