The fundamental problem that leads to this error message is that the ChangePassword control doesn't have a "ValidationProperty" attribute set at the class level. As mentioned earlier, you can just leave out the ControlToValidate attribute from your CustomValidator. This is probably the best plan for the ChangePassword control.
If you are trying to use CustomValidator with a custom control, set the ValidationProperty on your custom control's class:
[DefaultProperty("StateName"), ValidationProperty("StateName")]
public class StateBox: CompositeControl
{
...
If you want to use CustomValidator with a library control that doesn't have the ValidationProperty attribute set, derive a class from the library control and set the ValidationProperty on your derived class.