Hi,
You will need to open the db exclusively to set the password. To do this open the db normally then close the database window (not the application!).
Then press Ctrl+O to open the file dialog. Next browse to your db, select the file and then click the arrow adjacent to the Open combo box. From the drop down menu select Open Exclusive.
Now from the menu bar click Tools>Security>Set Database Password. Now just enter your desired password, verify and that's it. Just repeat the steps to unset the password if you need to.
Regards,