|Login as the administrator for your system.|
Find 'My Computer' and right click on it to pull up it's menu. (In XP my computer is normally found on the start menu.) Once on the menu find 'Manage' and select it. You will be resented with a computer management window.
Looking through the menu tree on the left you should see 'System Tools', expand it if it's not already expanded. Now locate and expand 'Local Users and Groups' and then click on the 'Users' folder.
Now you can see your computers users in the right pane. Your guest account may be disabled, so you will have to enable it to use it. Right click user 'Guest' and select 'Properties'. Now uncheck 'Account is Disabled' in the new window. Click OK.
Now back at your list of users, right click 'Guest' again and select 'Set Password', this will allow you to set your guest accounts password.
That should do it.
BTW: This works on Win2000 as well.