Open the lock using the original combination, which was 0000 for mine. Once open, you will find two tabs on the lock side--on top and bottom of the lock portal. Push in both tabs, and hold them down while you set the new combination. Once it is set, put the post back in to make sure it is still open. Twist the dials to lock it, and then you should be able to unlock using your new combination.
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Open the lock using the original combination, which was 0000 for mine. Once open, you will find two tabs on the lock side--on top and bottom of the lock portal. Push in both tabs, and hold them down while you set the new combination. Once it is set, put the post back in to make sure it is still open. Twist the dials to lock it, and then you should be able to unlock using your new combination.