Rust doesn't have a way to set a password by default, so if you want to make a private server for you and your friends you'll need to use the Authentication plugin to add a password. These steps will walk you through installing the plugin using Oxide.
1. Follow the steps to set up Oxide
2. Install Authentication.cs
3. Open the RCON Commands tab
4. Run the command auth password [new password]
5. Users will now need to type /auth [password]
to connect to the server