Changing one's email password.

My email is via Windows Live. It does recommend regularly changing the password, but when I try to do this it puts me through a procedure to check that I am who I claim to be, then tells me to enter a code which I never received. Ticking the "I don't have a code" box simply puts me back through the verification loop and goes through the same procedure as before. FRUSTRATING!!!
A little enlightenment before I chew away all my fingernails would be gladly received.
Here's hoping, and cheers everyone.