To create a Private Match, select Play (on the Main Menu) and then select Private Match. You will then see two options:
Create a Private Match
Here you can customize all the settings that you would like for your match, including if you want this to be between you and your Party friends only, or if you want others to be able to join via name and password.
Join a Private Match
If a player has created a Private Match with the Name/Password setting, select this option and type the Name and Password provided by the host.