Leo has a nice writeup here on how to change your MSN/Windows Live password.
http://ask-leo.com/how_do_i_change_m..._password.html
Or, start here:
https://accountservices.passport.net...vv=500&lc=1033
Scroll to the bottom of the page, under "Already signed up for Windows Live ID?"
Click on "Sign in to Account Services"
Once signed in, you'll see a "password reset information" section. Next to "password" click on "Change"