First you'll need to type in the new password. Your system may run some simple tests on the password. If it tests the password and determines that the password may be easy to crack, you'll get a message stating that the system thinks it is a bad password. If the system disapproves, you shouldn't use that password.
You'll need to type in the password twice, to make sure that you didn't accidentally include any typos when you typed it in the first time.
When you type in your password, linuxconf won't display your password on the screen (you'll see a line of asterisks instead). This precaution is necessary to prevent someone standing behind you from seeing your password.