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I am using Exchange Server 2003 on Windows Server 2003 Enterprise Edition. I want my users to let them change their passwords.

Here is the list of steps that I took:

To configure the IISADMPWD virtual directory, do the following:
1. Click Start, point to Programs, point to Administrative Tools, and then click Internet Services Manager.
2. Right-click the default Web site, point to New, and then click Virtual Directory.
3. In the Virtual Directory Creation wizard, type IISADMPWD in the Alias box, and then click Next.
4. In the Directory box, type :\winnt\system32\inetsrv\iisadmpwd or the location where your hard disk is your default hard disk, and then click Next.
5. Verify that only the Read and Run script check boxes are selected, such as the ASP check box, click Next, and then click Finish.
6. Verify that the IISADMPWD virtual directory has only basic authentication set and, if you use Windows 2003/IIS 6.0, verify that the application pool is set to ExchangeApplicationPool.

After that I need to tweak something in registry.

1. Start Registry Editor, and then locate the following registry key: HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet
\Services\MSExchangeWeb
2. If an OWA key is not present under MSExchangeWeb, click the Edit menu, click New, and then click Key to add a new key named OWA.
3. Locate the DisablePassword value and change the data to "0." If this value is not present, click the Edit menu, click New, click DWORD_Value to add the following value to the OWA registry subkey if you want the Change Password button to appear:

Value name: DisablePassword
Value type: REG_DWORD
Data: 0

If you want to hide the Change Password button, change the DisablePassword value data to "1."

After that, you need to stop and then restart the Exchange Information Store Service and the IIS Admin Service. This stops and restarts the World Wide Web Publishing Services (W3SVC).
Make sure that you all the dependent services that you require are restarted, such as IMAP4, POP3, Microsoft Exchange Routing Engine, W3SVC, MTA Stacks.
For my case, I forgot to write down the list of services, so I don't know which services left to run, that leads me to restart the whole server. :(

Anyway, for the moment, I don't need to do any troubleshooting yet.

Source : Microsoft