There are web parts out there that are free that should allow users to change their password. If you have your SharePoint site set up in Active Directory account mode then you will be able to change your password automaticly under update my information. The free one is available here http://dev.collutions.com/Beta/pages/Utilities.aspx
but I have not been able to get it to work. There is another Beta one available here http://sharepoint.advis.ch/Default.aspx?tabid=27
. I have not been able to get the first one to work. It seams to have a problem with permissions.