Sorry about being behind the curve a bit. I'm relatively new to Civ4 and messed up first move. I'll get to it again this evening and hopefully will have a move available tonight.
I didn't have to put in a password to take my turn. I'm hoping this is because my PC remembers the admin password or something, and not that I forgot to put one in on my first turn. I'd swear that I didn't. I don't want to have to re-start again due to my incompetence :o
First turn everyone gets typically doesn't have a password.
You're prompted to enter one, but you can also do it via the game menu (press escape in the loaded game) and select your details. There's an option to enter your password there.