Problem with changing password

[S dK]

The manual says:
To use SET PASSWORD on Windows, do this:

shell> mysql -u root
mysql> SET PASSWORD FOR ''@'localhost' = PASSWORD('newpwd');
mysql> SET PASSWORD FOR ''@'%' = PASSWORD('newpwd');

In the second SET PASSWORD statement, replace host_name with the name of the server host. This is the name that is specified in the Host column of the non-localhost record for root in the user table. If you don't know what hostname this is, issue the following statement before using SET PASSWORD

I typed the first one, checked the 2nd one and it was the same (both called localhost) then I shut down the command line then I started it again but I still need to login with the "no password" instead of the newpassword.

Steps I did
Start-->programs-->mysql-->commandline client
logged in with no password
mysql> SET PASSWORD FOR ''@'localhost' = PASSWORD('xxxx');
then quit
Start-->programs-->mysql-->commandline client
tried logging in with new password (xxxx)
Program terminated
tried logging in with no password
succesfull login

then again