What OS are you on? If you are on Windows, there are several ways to change your password.
I assume you are not on a domain (local user only) so you can to User Accounts under Control Panel or right click on My Computer and click on Manage and go to Local Group and User Accounts. You can pick the user and then Change Password.
The other way to do it is press CTL+ALT+DEL simultaneously and click on Change Password for the current logged in user. This is for XP and Windows 7 (slight variation but basically the same procedure) and works for domain users too.