@Breefield, Good point. Funny, I actually started to write an answer involving single user mode and the command line, but then I figured it was not the best answer to give someone who had trouble telling the difference between downloading and installing something. ;-)
This is the quickest and best way to reset an account password without a CD. And in regards to stealing; all bets are off if you let someone have physical access to your machine, unless you’re smart and encrypt your data with 256-bit AES or similar. Luckily, OS X supports 256-bit AES encrypted DMGs to boot, and has the built-in user-friendly FileVault “encrypt the whole shebang” option that any user with opposable thumbs can master.