This question came up recently, so I thought I’d put up instructions for it.
Step 0.) You’ll have to have a password already, AND you’ll have to know it. If you don’t know your password (which is possible, if you’ve set yourself up to automatically log into the forum) and you want to change it to something you’ll remember, I don’t know how to help you. The best I can recommend is to re-register by creating a new account. Sorry.
Otherwise, log into your current account if you haven’t done so already to read this page (which is the FIRST time you’ll need your password in this process–unless you’re automatically logging in) and then: onward!
Hint: I recommend opening a new window and reloading the forum on that window, too, while keeping this one open off to the side so you can follow the instructions as you read along. Or just remember them, whichever. 
There aren’t many steps to get where you need to go.
Step 1.) Click on the “User Control Panel” hyperlink. This can be found near the top of most (all?) forum pages (including the one you’re reading, I think); top left of the page, second line down from the main forum banner.
Step 2.) A new set of tabs, in a horizontal line, will show up when the page reloads. “Overview” is the default, but you don’t want that; you’ll want “Profile” (as highlighted below). Click that tab.
Step 3.) Another new set of vertical tabs will show up (replacing the previous ones from the “Overview” default, which I didn’t bother describing). “Edit Profile” will be the default, but you’ll want the one on the bottom instead: “Edit account settings”. (As highlighted below.) Click that tab.
Step 4.) You’re where you need to go now. Most of the things in the main window are now dedicated to changing your password. You’ll need to fill out the lines for “New password”, “Confirm new password” (just retype it), and “Original password” (and here’s why you need to remember your original password–it won’t be filled in for you already!)
Step 5.) Click the “Submit” button, just under the “Original password” line. It’ll probably take you to a new page, asking for yes/no confirmation; click “yes” if so.
Step 6.) REMEMBER YOUR NEW PASSWORD! Because the old one won’t work anymore.
Hope that was helpful!
