You cannot change FTP user password, using FTP client, just like you cannot change your e-mail password using Outlook / Thunderbird.
You have to log in to linux server to do that. Most common setup is to use standart unix user accounts for FTP. For SQL / LDAP based auth schemas, please refer to manual.
You can try login with SSH (For windows enviroment ( recommend Putty http://www.chiark.greenend.org.uk/~sgtatham/putty/). When logged in, just type passwd (enter) into command promt, then enter your current password, then new one.
Another way is to login into server using root user / user with sudo privileges and type(sudo) passwd [username], and change password then.