stuck with MySQL

Hello,
I am just beginning to learn MySQL and I am stuck with setting up the password
for root user (how pathetic). I read the manual and it tells me to do the following (by the way,I am using
Windows XP server):

To use SET PASSWORD on Windows, do this: shell> mysql -u root
mysql> SET PASSWORD FOR ''@'localhost' = PASSWORD('newpwd');
mysql> SET PASSWORD FOR ''@'%' = PASSWORD('newpwd');

I don't know exactly what I have to type to do this. suppose i wanted to set my root user password as
'dolphin'. Then exactly what do I have to type in order to make it work? A lot of detail would certainly help,
since I am bit slow at learning things. Thank you

Young