At last! Thank you Windows Live Messenger
Richard has noticed that Live Messenger includes a link to the forgotten your password web page. I've been harping on about how difficult it is to change your password or secret question in Messenger, and now we've included it at the sign in page.
So all you need to do is get the latest version of Windows Live Messenger from here...
Thank you, thank you, thank you to the Live Messenger team. Now I can stop nagging...!