I refer to this page http://www.sitefinity.com/developer-network/knowledge-base/configuring-password-recovery-in-sitefinity
If you have set your authentification to claims the Forget Password link will not show.
If this is correct it might be worth mentioning on that page that you have to set it Forms authentification to work.
Every time I set up anything related to mail and login I need to remember all the places where to make changes and settings. This I forgot.
See here: http://www.marktold.com/screencast/sf_passwort_vergessen.swf