Have some super secret stuff kept in a OneNote notebook? Me too. It would be really unfortunate if someone stumbled across all of my plans to take over the world and I'd forgotten to do something as simple as password protect it.
Right-click on any of the section tabs in your notebook, and then click on 'Password Protect This Section...'. A pane will appear on the right-hand side of your screen. Click on the 'Set Password...' button and then enter your password. Be careful when you are setting this - you won't be able to get back in if you've forgotten the password.