I searched in the preferences but found nothing, so how do I create a user+password on Stack Exchange, on an account which I've been using with OpenID only?
The "Stack Exchange login" is, itself, just an OpenID service.
To create one, go to https://openid.stackexchange.com/account/register
Once done, you'll have an OpenID URL to use. (Go to your user profile, click "my logins", then "add more logins..." then "more login options". Then you'll have a field where you can put your Stack Exchange OpenID information.
Once that's set up, you can remove the other OpenID connection you no longer want to use.
You can link it to a google/facebook/etc account by removing your openid account. If you hit "my logins" at the top right of your profile. Other than that you can not make a site login with an existing account. It will still be linked to facebook google or any other authorization provider you choose