Thanks for the response. I found it, but it was not exactly in the place you mentioned. It is actually under FILE MANAGER.
So for those who after me are going to be looking for it.
1) logon to your CP
2) Go under FTP USER
3) Right next to logon there is a hyperlink for FileManager, click on that.
4) once FILE MANAGER opens, look at all the way in the bottom, you will see a BUTTON for PROTECT, click on that. This will start the WIZARD and just follow the prompts to secure your directories.
Sincerely,
Mansoor.