It depends on how you setup your computer, if you set your computer to use your iCloud password to login then you'll need to unlike this. The best way to check is to follow the process for resetting the password as if your computer was using the traditional 'local' login method...
- Click the Apple logo in the top left of the screen.
- Click System Preferences
- Select Users & Groups
- Select the User account (if there is more than one) from the left of the screen.
- Click the Change Password button.
At this point it should indicate you are using iCloud or not, if not then simply enter your existing password and carefully pick a new one.
Otherwise, it should give you an option to disassociate and use local login instead, and you'll be able to create a new local password.