I add this class to library/My/Validate/PasswordConfirmation.php
A less elegant and simpler way to do it:
$password = new Zend_Form_Element_Password('password');
$password->setLabel('Password:')
->addValidator('StringLength', false, array(6,24))
->setLabel('Choose your password:')
->setRequired(true);
$password2 = new Zend_Form_Element_Password('password-confirm');
$password2->setLabel('Confirm:')
->addValidator('StringLength', false, array(6,24))
->setLabel('Confirm your password:')
->addValidator(new Zend_Validate_Identical($_POST['password']))
->setRequired(true);