Use the passwd command to change your password. This program will prompt you for your old password and then for your new password. You will be prompted to type your new password a second time to verify that you have entered it correctly.
Once you are logged in, press Ctrl-Alt-Delete to bring up the Security Options Dialog. Then click on the Change password... button. You will be presented with a window in which you can enter your old password and your new password, which you must enter twice to verify that you have entered it correctly.
When choosing a new password, keep in mind that your password must have characters from at least three of the following character classes: