Test > Settings > Web - here's where you set the password.
Here's what the QTP help says about its use:
When QuickTest creates an Active Screen page for a Web-based application, it stores the path to images and other resources on the page, rather than downloading and storing the images with your test or component. This ensures that the disk space used by the Active Screen pages captured with your test or component are not affected by the file size of the resources displayed on the page.
For this reason, a page in the Active Screen (or in your test or component results) may require a user name and password to access certain images or other resources within the page. If this is the case, a pop-up login window may open when you select a step corresponding to the page, or you may note that images or other resources are missing from the page.