If you get prompted to change your password, Windows Server 2008 will ask you to hit Ctrl-Alt-Del.

This will not work as while you are in a Terminal Service Session. and Hitting as the Ctrl-Alt-Del will be received by the local work station rather than the server's and cause it to invoke it's security menu or lock the current login. This will make it so that you cannot properly change your password. There are two ways to accomplish a password change. The simplest is to press Ctrl-Alt-End, which will act the same as Ctrl-Alt-Del, but be interpreted by the Terminal Server.

Alternatively, you will need to can click on Start, and then Windows Security.

Once there you can select Change Password.

You will then need to enter your current password. After this you can enter your new password, and confirm it. Click OK and you are done.