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 to log in to the Remote Desktop (i.e. the full desktop, not just the RemoteApp), and do the following:

1. Try CTRL+ALT+END (if that works skip to point 5).

2. Alternatively click the Start button and type OSK and press enter. This will open the On-Screen Keyboard.

3. Using your physical keyboard, hold down CTRL+ALT together.

4. Using your mouse, click DEL on the On-Screen Keyboard.

5. Click on Change a password.

6. Fill in your old password and enter your new password in twice.

7. Click the arrow to submit. You have now changed your password.