PC users might be used to setting BIOS passwords, which lock the computer at a fundamental level when it boots so no data can be accessed — or at least not without access to the innards of the computer.
It turns out Macs have a similar feature although if you have FileVault activated (and you really should) then it will only appear if anybody tries to boot to recovery media, such as an installation USB stick/DVD, or if they try to access the Recovery Console.
In fact, it’s from the Recovery Console that you’ll need to activate it, so restart the computer and just before the Apple logo appears, press and hold down Cmd+R. When the progress bar appears you can lift your fingers from the keyboard.
Select your language and location when prompted*, then click Utilities > Firmware Password Utility. Follow the instructions. Be extremely careful here! If you forget this password then apparently only Apple can unlock your computer. This is probably why this feature is optional!
However, for 100% security in case your Mac is lost or stolen, it really is a must.
* Language settings are important because they also set the correct keyboard layout. The difference between an English (UK) and English (US) keyboard might sound minimal — both are QWERTY, for example — but the symbols on the number keys are very different, as are some symbols on some non-alphanumeric keys. Remember the importance of the language setting when you come to type the password in future — you won’t realise you’re typing the wrong thing because the password is hidden as it’s typed!