Normally you can change your password by doing the CTRL-ALT-DEL key combination to bring up the screen with the "Change Password" prompt on a typical work PC connected to a network/Active Directory.
However if you are working from home and you connect to your work network via VPN, and then you connect to your work PC (at your physical work location) using Remote Desktop Protocol (RDP), CTRL-ATL-DEL will not work.
Fortunately the solution is easy. Do CTRL-ALT-END instead to be prompted with the same "Change Password" option.