Put the module to be used as master into AT command mode. If you have an Arduino handy, techbitar gave an excellent tutorial on how to do that here.

If you followed techbitars instructions, or already know how to do this, congrats! Skip ahead to step 11. Otherwise follow the next few instructions. You'll need to set up a serial connection with the module to be used as the master. What follows is just one method of accomplishing this.

If you bought two modules you'll be able to use the slave module to program the master. Connect the RXD of the slave to the TXD of the master and vice versa. 

Supply power to the slave and ground the key pin of the master (note: do not yet power the master module.) I've only been using the 5V supply and haven't noticed any problems.

Set up the slave as a com port. In Windows click on the Bluetooth icon in you're tray and select "Add Devices." The HC-05 should show up, click on it and follow the steps. The default password for mine was 1234.

Using a terminal emulator such as Tera Term create a serial connection to the slave module. The default settings for mine were 9600, N, 8, 1. If you don't remember the COM port number, open the Device Manager and look under Ports.

Now supply power to the master and pull it's key pin high. This should put the module into the AT command mode.

It's important to send both the CR and LF delimiters. In Tera Term these can be set under setup/terminal and selecting CR+LF in the drop-down menu of Transmit.