Android - How can I change password for my Exchange settings

Settings - Account and Sync - <your exchange account>' - Account settings - (scroll down) Incoming settings' - password field.

On my Samsung Galaxy S - running Froyo 2.2.1

The phone should prompt you for the new password once it gets an error back from Exchange. If it doesn't - you can try removing the account and re-adding it on Menu -> Settings -> Accounts and sync page.