You should have a password already. If not you'll need to create one.
To create one, in 'Accounts' preferences, highlight your user and click on Change Password.
After creating one, or if you have one already, on the left side of the 'Accounts' window at the bottom of the list of accounts, click on 'Login Options'. You may need to click on the lock at the bottom to make any changes. Then set the 'Automatic Login' box to 'Off' and make any other changes you'd like.