check this:
http://rocketgeek.com/plugins/wp-members/users-guide/shortcodes/page-shortcodes/
Password
[wp-members page=password]
The password parameter will generate a password reset form for users who are not logged in and a change password form for logged in users. It can be used in conjunction with the logged-in and/or logged-out status shortcodes as well.
NOTE: These functions are also a component of the members-area page parameter, so if you have a members-area page already established, you do not need this page as well. This shortcode is for site admins that might desire a more granular level of control over how these elements are used.
I’m not sure where to use this shortcode. I am using a widget provided by wp-member on the front page for user login.
Hello
You need to create a page (for example “lost password”) and add this shortcode ([wp-members page=password])in the content of this page. Then, go to your WP-members settings and on the first tab “WP-Members Options” on the “Pages” section choose your created page next to “User Profile Page”
