To change the “sa” password, login to your computer using an administrator account. Open your SQL Server and log in using Windows Authentication. Open a new query window and type in the following command: 

SP_PASSWORD @NEW = 'new_password', @loginame = 'sa' 

After that go to section Security –> Logins –> double click “sa” or choose properties. Go to “Status” and check to see if “Login:” is enabled. If not, enable it.

Updated: 11-01-2011
If you receive the foloowing error:
Msg 15151, Level 16, State 1, Line 2
Cannot alter the login ‘sa’, because it does not exist or you do not have permission.

Have a look at the follwoing article from Microsoft: http://tinyurl.com/72ayqrn