Send the windows command ctrl-alt-delete

To reset your password on a windows machine you need to press ctrl-alt-delete simultaneously on a windows keyboard.

On a Mac the command is ctrl-cmd-del if you have an extended keyboard. (del in this case is the delete key in the home/end key group on an extended keyboard)

If you have a compact keyboard or a laptop keyboard you don't have this extended del key (not the main delete/backspace key). 

Sending the command on a compact keyboard

The first trick is to select "enhanced keyboard support" from the Keyboard menu in the Citrix ICA Client navigation at the top of your window.

Once this is selected press fn-ctrl-alt-delete and you should get the login manager popup. (in this case alt is the same as the option key and delete is the main delete/backspace key)

From that window just select the "change password" button.

Please see the Windows Password Rules FAQ