For my Linksys router package, there was a FAQ's paper. One of the FAQ's gives you an IP Address to type in and follow that instruction.
Once you're in, you should see a page with a bunch of tabs and stuff regarding set up.
This is what mine looks like:
Go do Admistration
and the first thing you see is the "Router Password" & "Re-enter Router Password to confirm."
Type in desired passwords and scroll down to save the setting.
I believe all Linksys have similar steps so if it's a little, it should still be straight forward.