Is there a built-in way to password protect a zip in Windows 11?

No, Windows still can't. Right click compress makes a plain zip, and the old encrypt contents tick box is Windows' own encryption tied to your login, not a password someone else can type. 7-Zip is the answer, free: right click the folder, 7-Zip, Add to archive, type a password and set the encryption method to AES-256. Tick encrypt file names too or the names stay visible. One catch: Gmail and Outlook sometimes block encrypted zips as attachments, so if it bounces send it through a shared drive link and text the password separately.