hrm, interesting idea. I did some searching on goole (a search engine, you should try it sometime) and came up with these:

http://208.219.22.90/chan/ppscd/index.html

http://fileforum.betanews.com/detail.php3?fid=1017086497

http://fileforum.betanews.com/detail.php3?fid=1020456063

As well programs like winzip will allow you to password protect an archive that you create. Now I know this isn't password protecting the CD itself, but it will accomplish the exact same thing as what you are asking.

sum