Windows Server

Change Windows Server 2008 Password

Source: http://technet.microsoft.com/en-us/library/cc754651%28v=ws.10%29.aspx

To change the Administrator password in Windows Server 2008

Log on to the computer using the Administrator account.
Click Start, click Control Panel, and then double-click User Accounts.
In User Accounts, in Make changes to your user account, click Change your password.
In Change your password, in Current Password, type your password.
In New password, type a new password.
In Confirm new password, retype the password.
In Type a password hint, type a word or phrase that will remind you of your password or, optionally, leave this field blank.
Click Change password.

If in RDP:

Press CRTL+ALT+END

this is in essence the same thing as CTRL+ALT+DEL, it will display the login security screen where you can change the password, lock the computer, shut down, etc.