Hit whatever key gets you into the BIOS or Setup. DEL or F2 are common, most systems display the key press required on the screen when you first power up.
Note that if you set a BIOS password and forget it (or it just happens to get corrupted, rare but possible), on some systems the only way to get around that is to replace the BIOS EPROM chip, which nowadays are soldered to the motherboard. Removing the battery or reseting the CMOS with a jumper will not reset the BIOS on those systems.
The only advantage to a BIOS password vs a Windows password is it will prevent anyone from booting with a floppy/Flash drive or a CD to try to get around the Windows password.