This is the old version, to read the new version please read Change Windows password .

To change the administrator password in Windows 2003 RDP or Windows 2008 RDP:

In Windows 2003

Right click on “My Computer”
Select “Manage”
Double Click on “Local users and Groups”
Right click on “Administrator” and “set password”.

In Windows 2008 R2:

Click on “Start”
Select “Control Panel”
Select “User Account”
Select “Change your password”

It is highly recommended to use a complex password with length of at least 10 characters including upper case and lower case + special letters and numbers.