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.
