If you do not receive the password reminder email after doing this, make sure that you typed your email address correctly and that the address you used is, indeed, actually subscribed to that list. For security reasons, Mailman generates the same member options page regardless of whether the address entered is subscribed or not. This means that people cannot use this part of the web interface to find out if someone is subscribed to the list, but it also means that it's hard to tell if you just made a typo.
You can also get a reminder using the email interface,
Commands can appear in either the body or the subject of the message. (See Section 3.2 for more information about sending mail commands.)
If you are not sending mail from your subscribed address, you can also specify this address by sending the command password address=ADDRESS.