Hi again...
I forgotten to say that I deleted default ananymous user accounts from
mysq.user table before creation of the "dummy" user account.
"anonymous user deletion"
------------------------------------------------------
mysql> DELETE FROM user WHERE User='';
------------------------------------------------------
Again: I did fresh installation of mysql 4.0.8 (.9 and .10). Deleted
anonymous user accounts. Created new "dummy" user (as root) with USAGE
privileges. Logged in as "dummy" and tried to change passoword (SET
PASSWORD=PASSWORD('pass');). I allways got access denied error.
According to MysSQL manual every non-anonymous users should be able to
change their own password. This worked very well in 3.23.5x versions of
MySQL.
Teemu