There are two ways. One is to upload a new profile pic and the other is to chose a pic you already have uploaded in one of your albums as a profile pic.

To upload a profile pic, click on the "Edit Your Profile" link under your profile pic on the home page, then click on the "Edit my Photo" tab. Click on "Choose a file" to select a pic on your computer to upload and then click on save to save it. You can also edit the thumbnail version of your profile pic on this page. 

To make a picture that is already uploaded in one of your albums your profile pic, go to that picture in your album and click on it. You will then be taken to the pic viewer page for that picture. You should see a "Make Profile Pic" link under the pic.