Oh that thing -- Thunderbird trying to disguise itself by (poorly) attempting to look like the real Eudora.
I just download it (just it case it was different from the days it was still called Penelope). It should not be asking for any passwords to install. However, if you already had previously used it (I had when it first came out about 2 years ago) and had defined a email account it could be asking for your mail POP account password. But that dialog is not worded using the term "security device password". So I am not sure what you are encountering.
Update:
Just googled "Software security device". Found this on a mozilla site:
software security device. The default security device used by Certificate Manager to store private keys associated with your certificates. In addition to private keys, the software security device stores the master key used by Password Manager to encrypt email passwords, web site passwords, and other sensitive information. See also private key and master key.
Look at some of the other google his as well.