Well it seems that there is a bug in the way an RDP connection connects to a server when asking for your password to be changed. In short, you can’t! Well, I think it is a bug, but Microsoft probably had a good reason to do it this way.
But there is a solution that worked – for me anyway.
Here are the steps:
Log onto your terminal server / Multipoint server with administrative credentials
Click on Start then Run. Type in tsconfig.msc and hit enter.
Under the connections display window, double click on the RDP-Tcp connection
This properties box will appear.
Change the settings as shown above. The only option I needed to change was the Security Layer option from “Negotiate” to “RDP Security Layer”.
You can now close the Remote Desktop Session Host Configuration dialog box.
If you now try and connect a user via an RDP client that needs to change their password on logon, it will now prompt you to do so.