Creating a secret page is easy: You simply install a module but don't create the Main Link for it. The link to the page always follows the same pattern: it's just the module name converted to all lowercase and with spaces removed.
For example, if install a Music module and name it "Private Music", then the link to the page will be http://yourdomain.com/privatemusic/. (The final trailing slash is optional.)
Password-Protected Pages: If you want to make a page password-protected in addition to — or instead of — just being secret, see the Users, Groups, and Subscriptions Guide.