Changing your password on your local PC is easy. Pressing the <CTRL> + <ALT> + <DEL> key combination brings up a task menu which allows you to change your password (as well as other common administrative tasks). When you’re connected to a Remote Desktop server and press the <CTRL> + <ALT> + <DEL> key combination, you will still see this task menu for your local PC, not the remote server.
So how can you change your password when connected to a Remote Desktop server? Well the smart folks at Microsoft thought about that very question and have come up with a couple of solutions.
While logged into a Remote Desktop session, press the <CTRL> + <ALT> + <END> key combination. This will launch the same task menu, but on the remote server instead of on your local PC. Now you can click on the Change a Password menu option to change your password on the remote server
From the Start Menu type the word: password. This will query the Start Menu for anything related to passwords. From the query results select the item called Change your Windows password. You will now have an option to change your password to the remote desktop server.