Remote Desktop (RDP) : Changing Password

I use remote desktops A LOT to connect to other computers and servers. Sometimes it's necessary to connect to a terminal server and then open another connection to another computer. On one such connection I was prompted to change my password and was stumped as to how to do it, everyting I looked at seemed to want me to press CTRL+ALT+DELETE. Here's what I found:

CTRL+ALT+DELETE - Only works on your local machine. If you're connected via a remote desktop and press this key combination it will drop back out to your local machine.

CTRL+ALT+END - Only works on the first remote desktop you are connected to. Any further connections from that will will drop back out to the first remote desktop connection.

So here's how I got around it:

1. Open the On Screen Keyboard (osk.exe)

2. Hold CTRL+ALT then use the mouse to click delete on the on screen keyboard.

Anybody know why Microsoft can't put a change password menu item in, or modify the 'your password is expiring' prompt to take you straight to the location you need to be to change your password?