Ok, solved this, just in case anyone needs the solution, here it is.
[code]
location /admin {
auth_basic "Restricted";
auth_basic_user_file /path/to/.htpasswd;
location ~ \.php$ {
include fastcgi.conf;
fastcgi_pass my-backend;
}
}
[/code]
Posted at Nginx Forum: http://forum.nginx.org/read.php?2,131021,131044#msg-131044