Typically, you set the system password in your BIOS. I think that is what you are trying to do. You want to enter a password before the system boots up to Windows, right?
If so, press either the F2 or DEL (most likely candidates) right after you power the system on. Typically, this will open the BIOS for your system. There, you can setup the desired password.
Be sure to remember it, else you will lock yourself out of your system.