You must change your password on all remote servers that you access before you change it on your local server. If you change it on the local server first, when you issue the RPC to execute sp_password on the remote server, the command fails because your local and remote passwords do not match.
The syntax for changing your password on the remote server is:
remote_server...sp_password old_passwd, new_passwd
For example:
GATEWAY...sp_password terrible2, "3blindmice"
For information on changing your password on the local server, review “Password changes”.