Unable to set password

When trying to set a password I receive the following message.

Quote:

You must have the database open for exclusive use to set or remove the database password. To open the database exclusively, close the database, and then reopen it by clicking the File tab and using the Open command, In the Open dialog box, click the arrow next to the Open button and then select Open Exclusive.

When I follow the instructions, I don't get a dialog box. How do I set a password?

Unable to set password