How to change your password on a remote desktop connection on a Mac Book Pro
To change the password on a Windows machine within a Remote Desktop connection from a Mac, simply use this shortcut:
fn + ctrl + alt + backspace
“fn + backspace” is nothing else than delete.
Found here.
This shortcut allows you also to start the task manager, which is really handy in case your explorer.exe died and you want to restart it via the task manager.