When you try to access a network resource within your domain, you will receive the subject message and possibly
The user must change his password before he logs on the first time if the Administrator checked the
User must change password at next logon while you where logged on and
the session between your computer and the domain controller timed out due to inactivty.

Log off, log on, and change your password.

Tell your administrator that he/she should insure that the user is logged off before setting a policy that requires changing a password at the next logon.