Using RDS based on Windows Server 2008 R2 it's possible to create an option to allow users to change their (expired) password using RD Web Access. The hotfix that creates this feature can be downloaded here: http://support.microsoft.com/kb/2648402
A blog post with the details on how to set this up can be found here: http://microsoftplatform.blogspot.nl/2012/11/password-change-option-also-available.html