As shown in video above, add this code to the bottom of your active themes functions.php file or better yet add it to the child themes function.php file.
If those are not yet possible then use a plugin called Code Snippets as demonstrated in the video.
// customize the login error message
function login_error_override(){
return 'The user name and password is incorrect.';
}
add_filter('login_errors', 'login_error_override');