Password Protect The Entire Blog?

I’m setting up an internal WordPress blog for a company. They want the entire blog to be private. In otherwords you would have to login to even get to the blog itself. They currently have things set up this way with a hosted blog at wordpress.com. But they decided they wanted to host the blog themselves on their own servers so I’ve set up a new one there. But I can’t find anyway of requiring login before you even get to the blog. Is this possible with a blog they are hosting themselves? Thanks for any information.