user setting own password.

[Dato]

how does a user set his own password in mysql? I have searched through the archives, 
and have found only the 'st password..' command. this does not work. In my case, there 
are more then just one host in the user table and the set password command only 
changes the localhost entry, leaving me unable to connect with the new password form 
other hosts! how do I solve this? Any help would be appreciated. Thanks.