This is a pretty simple procedure, just follow the prompts. Enter your current password in the first box, then enter the text that you want to be your new password in the second and third boxes. (You enter it twice just to guard against typos...) If you entered your old password correctly and typed your new password the same both times, it will be changed. Otherwise it will fail, and you will see a message telling you why.
For some tips about how to choose a strong password, check out the
FAQ.