Hmmm, not sure which version of WP you're on, but here's some info from the WordPress help section:

"Through the automatic emailer - If you know your username and the email account in your profile, you can use the "lost password" feature of Wordpress.

• Go to your Wordpress Login page (something like http://yoursite.com/wordpress/wp-login.php)
• Click on lost password
• You will be taken to a page to put in some details. Enter your user name and the email address on file for that account.
• Wait happily as your new password is emailed to you.
• Once you get your new password, login and change it to something you can remember on your profile page. "

Or, if you need their emergency password reset script scroll all the way down this page and follow the instructions.

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