Hi I would contact WD about this but there is no software that comes with that drive to create a password for it. A password may be able to be set in some bios. Did the drive come in a sealed antistatic bag or was it taped over it seems as if someone used a 3rd party program on the drive to password it. If that is the case you would need to return the drive and get it replaced. I have never seen the screen shot you posted so have no idea how or what program they used to put a password it.
Keamas, sorry to hear about this issues that you are experiencing. It sounds like this drive may have an ATA lock. This is where a password is required in order for the drive to be accessed. The drives don’t ship this way so it is possible this may have been a returned drive.
In order to remove an ATA lock/password you may need to find some software that has the ability to do this. ATA locking is a spec and not specific to WD hard drives. Unfortunately, we do not have any software that can set, remove, or reset an ATA lock. If you can’t find software that will unlock the drive you may need to replace it. Since it is a recent purchase from Amazon, I would contact them about replacing it. If they can’t help you, I included a link below on how to setup an RMA through WD to replace a drive that is under warranty and how to contact support.