Change Password Through Remote Desktop

To change your password via a remote desktop connection (RDP or RDC) press Ctrl+Alt+End once you are logged into the server, or Control+Option+Delete if you are a Mac OS X user.

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:
http://www.microsoft.com/downloads/details.aspx?familyid=26F11F0C-0D18-4306-ABCF-D4F18C8F5DF9&displaylang=en

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

Download:
http://www.microsoft.com/mac/downloads.mspx?pid=Mactopia_RDC&fid=CD9EC77E-5B07-4332-849F-046611458871#viewer
(scroll to the bottom)