In order to change the password on your Steam Account, you will need to follow these steps:

• Open the Steam client and select “Steam” in the upper left.
• Go to “Settings”.
• From the 'Security' tab, select "Change Password".
• Choose the option to send a verification email to the email address associated with the account.
• Open your mailbox, and an email from Steam Support will be sent to the email address associated with your Steam account. If you don't receive an email, make sure to check your spam folder.
• Enter the 5 character code from the email and then enter a new password. Note: It must not be a previous password and must meet the password strength requirements.

Here you can check how to change password on your Steam Account: