See the latest post about this at zevenseas AD ChangePassword WebPart released where you can find the link download this,

using ActiveDs;
using Microsoft.SharePoint;
using Microsoft.SharePoint.WebControls;
using System;
using System.DirectoryServices;
using System.Web.UI.WebControls;


namespace ChangePassword
{
    public class ChangePasswordWebpart : System.Web.UI.WebControls.WebParts.WebPart
    {

        private TextBox oldpassword;
        private TextBox newpassword;
        private TextBox checknewpassword;

        private LinkButton btn;
        private Label output;


        protected override void CreateChildControls()
        {
            this.oldpassword = new TextBox();
            this.oldpassword.TextMode = TextBoxMode.Password;
            this.Controls.Add(oldpassword);

            this.newpassword = new TextBox();
            this.newpassword.TextMode = TextBoxMode.Password;
            this.Controls.Add(newpassword);

            this.checknewpassword = new TextBox();
            this.checknewpassword.TextMode = TextBoxMode.Password;
            this.Controls.Add(checknewpassword);

            this.btn = new LinkButton();
            this.btn.Click += new EventHandler(btn_Click);
            this.btn.Text = "Change Password";
            this.Controls.Add(btn);

            this.output = new Label();
            this.Controls.Add(output);

            base.CreateChildControls();
        }

        
        void btn_Click(object sender, EventArgs e)
        {

            if (newpassword.Text.ToString() == checknewpassword.Text.ToString())
            {

                SPWeb webContext = SPControl.GetContextWeb(Context);
                string strLoginName = webContext.CurrentUser.LoginName;

                int iPosition = strLoginName.IndexOf("\\") + 1;
                strLoginName = strLoginName.Substring(iPosition);

                

                DirectoryEntry entry = new DirectoryEntry("LDAP://domain.com", strLoginName, oldpassword.Text.ToString(), AuthenticationTypes.Secure);
                DirectorySearcher search = new DirectorySearcher(entry);
                search.Filter = "(SAMAccountName=" + strLoginName + ")";
                search.SearchScope = SearchScope.Subtree;
                search.CacheResults = false;

                SearchResultCollection results = search.FindAll();
                if (results.Count > 0)
                {
                    foreach (SearchResult result in results)
                    {
                        try
                        {
                            entry = result.GetDirectoryEntry();
                        }
                        catch (Exception error) { output.Text += "<BR>" + error.Message.ToString(); }

                    }

                    try
                    {
                        entry.Invoke("ChangePassword", new object[] { oldpassword.Text.ToString(), newpassword.Text.ToString() });
                        entry.CommitChanges();
                        output.Text += "<BR> Password is changed";
                    }
                    catch (Exception)
                    {
                        output.Text += "<b> Password couldn't be changed due to restrictions<b>";
                    }
                }
                else
                {
                    output.Text += "<BR> User not found or bad password";
                }
            }

            else
            {
                output.Text += "<BR>Passwords don't match";
            }

        }

        protected override void Render(System.Web.UI.HtmlTextWriter writer)
        {

            string strLoginName = string.Empty;

            try
            {
                SPWeb webContext = SPControl.GetContextWeb(Context);
                strLoginName = webContext.CurrentUser.LoginName;
            }
            catch (Exception) 
            {
                output.Text += "<BR> Please sign in first using the 'Sign In' button above";
            }

            if (strLoginName != string.Empty)
            {
                writer.Write("<table border=0>");
                writer.Write("<tr>");
                writer.Write("<td class='ms-vb'>");
                writer.Write("Current password:");
                writer.Write("</td>");
                writer.Write("<td class='ms-vb'>");
                oldpassword.RenderControl(writer);
                writer.Write("</td>");
                writer.Write("<td class='ms-vb'>");
                writer.Write("</td>");
                writer.Write("</tr>");
                writer.Write("<tr valign='top'>");
                writer.Write("<td class='ms-vb'>");
                writer.Write("New password:");
                writer.Write("</td>");
                writer.Write("<td class='ms-vb'>");
                newpassword.RenderControl(writer);
                writer.Write("</td>");
                writer.Write("<td class='ms-vb'>");
                writer.Write("</td>");
                writer.Write("</tr>");
                writer.Write("<tr valign='top'>");
                writer.Write("<td class='ms-vb'>");
                writer.Write("Confirm new password:");
                writer.Write("</td>");
                writer.Write("<td class='ms-vb'>");
                checknewpassword.RenderControl(writer);
                writer.Write("</td>");
                writer.Write("<td class='ms-vb'>");
                writer.Write("</tr>");
                writer.Write("<tr valign='top'>");
                writer.Write("</td>");
                writer.Write("<td class='ms-vb'>");
                writer.Write("</td>");
                writer.Write("<td class='ms-vb'>");
                btn.RenderControl(writer);
                writer.Write("</td>");
                writer.Write("<td class='ms-vb'>");
                writer.Write("</td>");
                writer.Write("</tr>");
                writer.Write("</table>");
                output.RenderControl(writer);
            }
            else { output.RenderControl(writer); }

           
        }
    }


}

Also look on http://www.codeproject.com/KB/sharepoint/moss_fba_changepassword.aspx