There are two ways to change your password:
If you are logged into your account
From the “My Account”, click either of the "Edit" links next to your billing and shipping addresses as shown in the screenshot below
This will take you to the "Update Account" page, enter your old password and your shiny new password.
Scroll to the bottom of the page and click the “Update My Information” button.
You will be returned to the previous window, there will be a confirmation message (as shown below) confirming that your password change was successful.
If you have forgotten your password
Click the “Login” link at the top of any page, click the “reset my password” link as shown in the screenshot below.
Once you have clicked the link a small window will appear asking for your email address, fill out the field and then click "Reset My Password" button.
You will receive confirmation that a reset link has been sent to the email address specified.
The email is shown below:
Simply click on the link and you will be taken to the password reset page
Enter your new password, wrestle with the Captcha (sorry, but...) and you are done!