As it turns out CONTROL-ALT-DELETE can't be sent to a Remote Desktop session. However, CONTROL-ALT-END can and this brings up the same screen on a Remote Desktop and allows you to change password.
If you are using Citrix instead of MS Remote Desktop you can try Control-F1.
If you are using Mac OSX, you can try FN-CONTROL-ALT-DEL.
If all else fails, you can bring up the Microsoft on screen keyboard and click the CONTROL-ALT-DELETE keys.
I got these tricks from here.