With Office 365, like with BPOS, there is password policy you can’t change (except if you use authentication federation with your own AD).

For information, you can find details about password policy here http://community.office365.com/en-us/w/sso/office-365-password-policy.aspx

If your password expired and you are connected with Lync, you will have a popup asking you to enter your password. You may not noticed this is due to password expiration and the popup will come again.

If, then, you take a look on the popup you will see the reason (New Password Needed) and you will have a link to change your password

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The link for changing password is https://portal.microsoftonline.com/common/logincredprof.aspx