To set or change a password for Messenger Lock, you must go to the "Plus!" menu...
(1) Plus! > (2) Preferences & Options > (3) Messenger > (4) Messenger Lock > (5) Ask for password to unlock
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In case you can't remember the password to unlock Messenger while you have locked Messenger, you need to kill the process of Messenger:
- Press <ctrl><alt><del> (all at the same time) to open your Task Manager
- In the Task Manager, click on "Processes" tab
- Find the process "MsnMsgr.exe"
- Right click it and select "Kill task"
- Restart Messenger