To change your password, a confirmation message will be sent to the email address associated with your membership account. This is to confirm that you are able to retrieve messages at that address. Within the email is a link. Click on that link which will load a confirmation page, asking you to confirm your login name and specify a new password. Then you will be taken to the login screen where you can login using your new password.
If you no longer have access to the email address you originally registered with, you will have to first assign a new email address to your account via the Account Recovery Page. Afterwards you can revisit this page and recover your password.