How To Change the Password for Your Own User Account? - MySQL FAQs - Managing User Accounts and Access Privileges

If you want to change the password of your own user account, you should use your user account connect to the server "mysql" first. You should then use the "SET PASSWORD ..." command to change the password of the current user account. There are two ways to use this command to set a new password and store it in an encrypted format:

SET PASSWORD = 'encryptedPasswordString';
SET PASSWORD = PASSWORD('passwordString');

Notice that PASSWORD() is a system function to encrypt the specified password. Here is good tutorial exercise to show you how to set a new password:

>cd \mysql\bin
>mysql -u root mysql

mysql> SET PASSWORD = 'retneciyf';
ERROR 1372 (HY000): Password hash should be a 41-digit 
 hexadecimal number

mysql> SET PASSWORD = PASSWORD('retneciyf');
Query OK, 0 rows affected (0.56 sec)

mysql> SELECT User, Password, Shutdown_priv FROM user;
+------+-------------------------------------------+-----+
| User | Password                                  | ... |
+------+-------------------------------------------+-----+
| root | *3735F1D8464342BA852E10101E55E422EBAAAF35 | Y   |
| dev  | *3735F1D8464342BA852E10101E55E422EBAAAF35 | N   |
+------+-------------------------------------------+-----+
2 rows in set (0.00 sec)