as the computer is booting - before you see the Windows loading screen - by pressing the delete key. There are other access keys - sometimes F1 or F2, or Ctrl+Alt+Esc depending on the make of your motherboard, but try the Delete key first.
Normally you'll see the correct key being displayed during the boot sequence, but if you have a branded machine (Dell, HP etc.) this may be hidden by a brand splash screen. If this is the case you can clear it by pressing the Esc key.
Once in the BIOS you can navigate to the password-setting facility. Be sure that you choose an easily remembered word - if you forget it you'll also be locked out of your computer.