No, digital file pro cannot pass a username and password to access a password protected directory.
Really the only way to protect files that you offer for download using digital file pro is to place them outside of the site root where they cannot be accessed using a URL. this the only 100% certain way to ensure that a user cant access the file directly.
the only other option that I can come up with that is still not 100% secure, is to give the file a random name:
in your database store this name and the friendly name:
in the download file server behavior, link the File Name to the encrypted file name "8cbcbdb8bd7d27c6ff17a196ae27c268d1d2d057.jpg" and link the Save as option to the friendly name "myimage.jpg"
this way the file name on the server behavior is not very easily guessed, and it is given a friendly name in the save as dialog box.