To save the files as protected files and display a message when someone tries to make changes without the appropriate password, you can use the following adjusted code:
Code:
For r = FirstRow To sws.Cells(sws.Rows.Count, "A").End(xlUp).Row
    sws.Rows(r).Copy dfCell
    dName = CStr(sws.Cells(r, "A").Value) & NAME_DELIMITER _
        & CStr(sws.Cells(r, "B").Value)
    If Len(dName) > ndLen Then
        dws.Name = dName
        dFilePath = dFolderPath & dName & ".xlsx"
        Application.DisplayAlerts = False
            dwb.SaveAs dFilePath, xlOpenXMLWorkbook
        Application.DisplayAlerts = True
        
        ' Protect the workbook
        Dim wb As Workbook
        Set wb = Workbooks.Open(dFilePath)
        wb.Protect Password:="YourPassword", Structure:=True, Windows:=False
        
        ' Add a message to prevent unauthorized changes
        wb.ShowPivotTableFieldList = False ' This line is optional, it hides the PivotTable Field List
        wb.CustomViews.Add ViewName:="ProtectedView"
        MsgBox "Changes cannot be made without the appropriate password.", vbInformation, "Protected File"
        
        dCount = dCount + 1
    End If
Next r
Replace "YourPassword" with the appropriate password you want to use to protect the files. This code will protect the saved files with the specified password and display a message if someone tries to make changes without the appropriate password.