In light of the Steam forum security breach, Valve's Gabe Newell has said "it wouldn't be a bad idea" to change your Steam account password as well.
How do you do that?
In Windows, like this.
Launch the Steam application and log in to your account. Right click on the Steam icon (in the task bar or system tray), select Settings and choose "Change Password Or Secret Question", then "I want to change my password".
Enter your existing password for Steam to send you an email with a confirmation code.
Enter that confirmation code and then your new password, twice.
Ta-da, you're done.