I'm not sure what skin you are using, but on the FFXI skin. http://ffxi.allakhazam.com
Click "Account"
Then click on the "Account" heading one more time, it will open your Account page.
Click on "Account Settings"
Then click "Change Password"
Also, a bug report, clicking the Account tab doesn't bring up the Account page unless you click it twice. Well, maybe not a bug, but it's not readily obvious that to get to the account overview page you'd have to click the tab twice, rather than clicking it and choosing an option in it's listing.
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Can't sleep, clown will eat me.