Password Change problem

I just had something weird happen. I didn't have a password set up on my
user account so I decided to add one. I went into the user management
screen and typed in my password then confirmed it. A message came up that
said Windows cannot change the password. So I typed it in again and it said
the same thing. So I exited the User Accounts menu then went back in and it
said my account was password protected. So I decided to see if it was what
I thought. I logged out, when I went to log in it asked me for a password I
entered the one I put it that Windows said it couldn't change and voila it
worked. It doesn't seem to be causing an issue but I just thought it was a
bit strange. Anyone else have any problems with this? I am running Windows
Home Premium on a P4 2.4 gig cpu.
Thanks