You can change your password when creating a character for the first time.
After all character customization you're given a popup with 4 boxes regarding your password.
The first 2 boxes are used if you want to change your password (whatever you put there would be your password, if you typed the exact same pass given, then that is what you would be using) and the last 2 boxes are used to create a character deletion code that must be used whenever you want to delete your character.

Hope I cleared things up for you :)