Go to the Preferences application. Select Security. Next to Password, tap the word "Unassigned". You will be presented with a keypad to create your password. You'll have to enter it twice. It will also prompt you for a reminder...something that will help you remember what it is in case you forget it.
Remember, if you *do* forget your password, the only way to clear it is to perform a Hard Reset.
Is it possible to assign a password for my data without having a handheld? - i.e. on the desktop software only? I use the desktop software (v. 4.1.4) for my PIM data, but no longer have a handheld. I want to be able to secure some of my data.