Select "Change a password" from the menu and then fill out the form.
You must be using RDP 6.0 or later on Windows clients, or RDC 2.0 or later for Mac OS X clients. RDP 6.0 for Windows XP:
Windows Vista and 7 come with RDP 6 or greater and is updated through Windows Update....
Mac OS X RDC FAQ:
http://www.microsoft.com/mac/help.mspx?product=Remote Desktop Connection&app=6
(scroll to the bottom)