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There are several ways to do this.

1. Wrap the application inside an encrypted disk image, and protect that with a password.
2. Wrap the application inside some other sort of password-protected archive.
3. Create a little AppleScript wrapper that prompts for a password, then launches the requested application. For this to be effective, the real application should be hidden in such a way that bypassing the AppleScript wrapper is difficult.
 
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