Changing your user password in a Windows Server typically involves going back to the lock screen, i.e. pressing CTRL+ALT+DEL.
For a remote desktop environment though it isn't possible to just press CTRL+ALT+DEL, as that will lock your physical computer.
A workaround is as follows:
1. Click the Start button and type OSK and press enter. This will open the On-Screen Keyboard.
2. Using your physical keyboard, hold down CTRL+ALT together.
3. Using your mouse, click DEL on the On-Screen Keyboard.
4. Click on Change a password.
5. Fill in your old password and enter your new password in twice.
6. Click the arrow to submit. You have now changed your password.