It partly depends on whether you're using webDAV folders or BI Content folders. webDAV folders generally have security set using the webDAV software, such as Xythos. BI Content folders generally have security set using SAS Management Console.
There is a whole manual on Platform Administration, which goes into GREAT detail on security questions and SAS offers a Platform Administration course on security and setting security correctly --so this is not a task that should be undertaken lightly or without consulting your SAS Administrator.
If you don't know who your SAS Administrator is, or, you need specific directions for setting security, your best bet is to contact SAS Tech Support for help.