The Change Password feature is provided by Microsoft Internet Information Services (IIS). The Change Password feature is not specific to Microsoft Exchange Server. This feature in IIS is implemented through the IISADMPWD virtual directory. In Microsoft IIS 5.0 and in Microsoft IIS 6.0, you must manually create and configure this virtual directory. In Microsoft IIS 4.0, this virtual directory is created by default, but it must be manually configured.
This also applies to OWA 2007 [Exchange 2007 SP1] –
Follow the step as mentioned below
To configure the IISADMPWD virtual directory, do the following:
- Click Start, point to Programs, point to Administrative Tools, and then click Internet Services Manager.
- Right-click the default Web site, point to New, and then click Virtual Directory.
- In the Virtual Directory Creation wizard, type IISADMPWD in the Alias box, and then click Next.
- In the Directory box, type <hard disk>:winntsystem32inetsrviisadmpwd or the location where your hard disk is your default hard disk, and then click Next.
- Verify that only the Read and Run script check boxes are selected, such as the ASP check box, click Next, and then click Finish.
- 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.
Full article can be found here