How to change SQL Server “sa” password?

To change the “sa” password, login to your computer using an administrator account. Open your SQL Server and log in using Windows Authentication. Open a new query window and type in the following command: 

SP_PASSWORD @NEW = 'new_password', @loginame = 'sa' 

After that go to section Security –> Logins –> double click “sa” or choose properties. Go to “Status” and check to see if “Login:” is enabled. If not, enable it.

Updated: 11-01-2011
 If you receive the foloowing error:
 Msg 15151, Level 16, State 1, Line 2
 Cannot alter the login ‘sa’, because it does not exist or you do not have permission.

Have a look at the follwoing article from Microsoft: http://tinyurl.com/72ayqrn