sravis got me on the right track, but still one flaw remains: if you do it that way, you can still just remove the locking of the sheet using Excel without entering a password (just as it tells you when you click on a cell that's not locked with a password).
To lock an Excel-sheet with a password and unprotect a couple of cells, you need to protect the sheet (instead of just a couple of cells) and then unprotect some cells:
$sheet->getProtection()->setPassword('password hare');
$sheet->getProtection()->setSheet(true);
$sheet->getStyle('A1:B2')->getProtection()->setLocked(PHPExcel_Style_Protection::PROTECTION_UNPROTECTED);
That way the user will have to enter the password when trying to unprotect the sheet using Excel.