I don't recall what my password is with AT&T. I have a PIN number I use to access my account by phone. I'm guessing that's what they're talking about. For new customers I think they may just want you to be prepared to set one up.
I think this is if you are porting your number over from another carrier to AT&T... they want to make sure the account holder has the phone # and password/pin to approve the process.