For example, if you have a WordPress blog installed on your main directory like example.com/wp-admin, you should create an .htaccess file in /wp-admin/.htaccess and you should put this code in, and not forget to replace the allowed IP address with your IP address.
deny from all
allow from YOUR-IP-ADDRESS-HERE
(Replace "Your-IP-Address-Here" text with your IP Address)
You can test this by accessing your /wp-admin IP address from another IP address which is not allowed by your .htaccess file.