Start by making a back up copy of your file with no password protection. If you then make a mistake and lock yourself out of your own file, you can toss that copy and revert to the back up.
Now Open Manage Security and define accounts with privilege sets and passwords. Start by giving the Admin account a password for opening the file in [Full Access] privilege set. Then add any other accounts as needed.
When you try to leave Manage | Security, you will be asked to enter a full access account name and password so enter Admin and the password that you have just entered.
Now close and re-open your file. you should get a password dialog opening with your user name--as specified in preferences entered as the default account name.
Note that File Options can be set up to automatically enter an account name and password. The default setting in File Options for a new file is to auto-enter the Admin account with no password. Once you define a password for the Admin account, the file no longer opens without asking for a password as the credentials being auto-entered are no longer valid.
Great, Thanks Phil