To begin, press the Menu button on the remote and navigate to:

Settings -> Parental -> Change PIN

The default Old PIN value is 0000 (four zeros) - Leaving this field blank does not return an error, but your new PIN will not save. You may know this by experience!

Add your new PIN to the next field and repeat it for the next field labeled "Re-enter New PIN"

Press "OK" in the bottom left to save and exit that menu. 

Now you should be all set to configure "Set Ratings", "Time Restrictions", and other settings on your set top box.