you probably have a 'blank' password currently. despite sounding insecure, they actually disallow remote access so arent necessarily bad... of course if someone is standing in front of your box then you're screwed.
to change/set a passsword:
(1) ctrl-alt-del, then select "change password"
(2) start/run/ type "control userpasswords2" follow your nose in the dialog box that appears
(3) start a command prompt in administrative mode (right click command prompt, run as administrator) type command "net user administrator s3cr3t" (where you replace s3cr3t with the password you want)
Also, just for future reference; since you were already logged in, you could just create another admin account, log into that, then reset the first admin accounts password. From there, you could do what you like; swap back to the other one and delete the newest one, or just leave it there. Either way, you end up with a reset password.