Some ideas...
Is this for yourself (e.g. to protect your backups) or to give the CD to someone else?
If for yourself have you tried setting the access privileges in the Get Info dialog box of the CD before you burn the CD?
If you set the permissions to 'No Access' for Group and Others, 'Apply to enclosed items...' and UNcheck 'Ignore ownership on this volume' this should result in a CD only readable by yourself on your computer. If put into any other Mac it shouldn't mount.
Since I haven't tried this myself, I'm not exactly sure what happens if you put it into another Mac. Will it ask for a password or will it just refuse to mount? Worth a try in any case.
If for someone else you could try to Stuff the whole content and use a password during compression. You'd need DropStuff at least or a full version of StuffIt.
Also I think OS 10.3 Panther will come with the ability to encrypt files (like OS 9 used to do).
The last two aren't really password protection when mounting the CD, but they will password protect the data on it.