Changing root password in MySQL

I followed all the steps of the: How To Set Up A Ubuntu/Debian LAMP Server.
http://www.howtoforge.com/ubuntu_debian_lamp_server

One step didn't go as hoped:
When I try to change the root password in MySQL I get an error message as sone as I put this code in a terminal:
mysql> USE mysql;

Can somebody explain to me how to do this right?
I'm trying to set up the LAMP server to run Wordpress locally to preview some
things first before uploading.

 

You must log in to your MySQL server first:

Code:

mysql -u root 

Then run

Code:

USE mysql;