You can change the Phone Lock Code from the default 0000, but the only time it will ask for the code is when the phone is powered on when the lock is activated.
To change this code, in Settings under General select Security, Locks, Phone Lock. Write down the code that you change it to, as the phone would need to be serviced to reset it if the code is lost or forgotten.
If the password that you mentioned is so that certain menus ask for a password(for example), then this is not possible.
