XP Pro: At the Welcome Screen, with no other user's logged on, press CTRL-ALT-DEL twice at the Welcome Screen. You'll get the older Windows 2000 style logon. Enter Administrator, and any password that you may have put on the Administrator account during setup (if in doubt, just leave it blank). Then you can access the User Accounts applet and change the password for your account.
Note: You will see the following warning in User Accounts: You are changing the password for <username>. If you do this, <username> will lose all EFS-encrypted files, personal certificates, and stored passwords for Web sites or network resources.
So make sure you remember your passwords, and that you don't have any files that are EFS encrypted before doing this.