The SAM database is part of the Windows Registry and stores information about user accounts such as user names and password hashes. The corresponding Registry file is located in c:\windows\system32\config. Since Windows NT 4 SP3, the SAM file is partly encrypted. The SysKey utility allows you to move the SAM encryption key off the computer and/or configure a startup password.
Using Syskey utility:
2)This type of screen will be displayed.Click on Update option.
3)There are Two options:
a)Password Startup-->This will store the syskey password on your computer only.Just you have to type the syskey password everytime you log into your computer.
b)System Generated Password-->This will store the syskey password on a floppy disk or a pendrive.Then you just have to insert that pendrive or floppy disk into your computer everytime you log into your computer.
I will go with the first option,Password Startup.
Type the password you want to keep and click on the OK option.