If you are in a shared hosting environment this might help. It presumes that you have ssh access and full permissions for at least your user directory.
ssh in
Then make a bin directory or cd into the directory where you install your shell scripts and add-on's. This can be anywhere as long as its higher than public_html or htdocs. Preferably in your home directory. mkdir bin
Download the latest version of drushwget http://ftp.drupal.org/files/projects/drush-7.x-4.5.tar.gz
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Go to the Admin Configuration page. Under Media you will find File system. Alternatively just got to mysite.com//admin/config/media/file-system
There you can set your private file. Its probably best to have it in your normal files folder within the sites directory.
This is what I did to setup the private folder:
with bash, cd into sites/default/filesmkdir private
cd into private
create an .htaccess file inside that directory containing:deny from all