Changing your password in a Terminal Services session.

So you’re using a Terminal Services Client (MSTSC) to connect to a remote server, and you want to change your password.  The secret is to use CTRL-ALT-END.  Which will bring up the Windows Security dialog box.  From here, you can Change Password.
CTRL-ALT-END 
Other keyboard shortcuts have been documented by Microsoft here:
Keyboard Shortcuts in a Remote Desktop Session

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