Why can't I protect individual media files and .html pages?

I was experimenting with URL groups and media file protection yesterday. I was hoping to master this because I have individual directory files and .html pages (gallery pages) to protect. I've been over the material several times and just don't get it.

(The only thing I've been able to do so far is protect blog posts and pages via the panel or using shortcodes, but not individual media and web page files.)

To Further Explain: I figured making Lightroom galleries would cut down on the amount of time it would take me to upload available media. I also tested the media file protection via the WP media library. I did not have much success with either using the URL groups or the media protection.

The only thing I was able to do so far is protect these kinds of FTP directory files:

http:///www.somesite/example/

I did that when trying out the URL group expression codes either (.*) or +.

However, I did not at all successfully protect any media files with a path similar to this (whether in the "uploads" folder" or elsewhere):

http:///www.somesite/example/picture.jpg

I also did not successfully protect any files with a path like this:

http:///www.somesite/example/index.html

Can someone please tell me what I'm doing wrong?

I even tried to most the files to the exact path as the one indicated for media file protection.