Sometimes it’s not so easy to change a password in an RDP Session (e.g. not in Full Screen Mode and OSK.exe not working). Using the following commands you can get to the change Password prompt.
in CMD
C:\Windows\explorer.exe <file:///C:/Windows/explorer.exe> shell:::{2559a1f2-21d7-11d4-bdaf-00c04f60b9f0}
In PowerShell
(New-Object -ComObject shell.application).windowsSecurity()