The user management of OpenX is a little confusing if you are used to other systems. There is a blog-post about the user system on the OpenX-blog giving a good overview.
One aspect that they seem to have forgotten is dat users may want to change their password. A "I forgot my password" link is provided, but other than that there is no way to change your password.
If for some reason the password-recovery is not an option, it is possible to change the password directly in the database. The password is md5-hashed, so you can use a query like this:
UPDATE ox_users SET password=MD5('password') WHERE username='johndoe';
Obviously, you will need to change "password" to whatever you want to set the password to, and the username to the user you want to change.
Eew. Unsalted passwords. Not very secure.