Ok, Here's what I think (wish for/would like, whatever):

if you go to Edit-Add Files and create a sub-directory under ROOT then put [PDF] files in there, then Link to those files (of course you'd have the same sub-directory on your PC). Don't have the Publish process copy them to the files/download directory. Leave the links and the files alone. That way one could use the server's Protected Directories function

That's why I suggested doing this from your server control panel. Create your password-protected folder/s there and don't use VSD at all for uploading the PDFs. Use the add files option in your control panel to upload the PDFs to the private folder/s.
You can then decide who to give the username and password to.
If you have links on the VSD site, when clicked, a user sees the log-in panel.

Geez! I guess I AM old! I thought I tried that?! I have the folder (RulesRegs) with the files (PDF) on my server. I removed that folder from my PC, I removed the PDF files from the files/download on my PC. Oh, before removing the RulesRegs folder from my PC, I created the Links to the PDF files with VSD. Then I did the Publish.
When I open the website, and access a PDF file the link is not pointing at the RulesRegs directory, it's pointing to the files/download directory.
So apparently I'm missing someting (besides grey matter!) If I don't use VSD to upload the PDF files, how do I get the link to work properly???

Confused/Old in Largo, Fla

Your link will have to go to the specific folder on your server. Here's a link for an example:
http://cpcharities.org/cmusus (link to site followed by folder name after the /)
In VSD, you'd create your link just like any other link (button, text, image), but include the full path to your private folder.
http://mysite.com/rules ....for example.

Like WOW!!! It never occurred to me to use the URL on the Link Properties dialog! Thank-you, Thank-you, Thank-you
very much!

I'm a happy old person again!
-Richard

That's what we want... now sit there drooling with a big grin on your face and try to remember what you were doing......
(Oh-No! That's what I'm doing )