Hotlink protection prevents your media content from being used on other websites by hotlinking it, which consumes your bandwidth.
To enable it, open your Websites → Manage page, search for Hotlink Protection on the sidebar and click on it:
Then choose which types of files you would like to protect (or select * to choose all).
You should also specify where all the requests to your restricted files will be redirected. It can be either a specific page of your website or any other website.
Save the changes - your hotlink protection is successfully set up! You can edit it on the same page.
There are other options to enable hotlink protection (via .htaccess, plugins, CDN). You can find them in Hotlinking: What Is It and Why Is It Bad?