On a Windows Server 2003 machine I needed sound to be enabled during remote desktop connections. Here's what I had to do to bring the sound to the client machine.

1. Install audio drivers on the server, of course
2. Enable the Windows Audio service on the server.
   1. Open Administrative Tools => Services
   2. Locate the service named Windows Audio
   3. Set the start mode to "Automatic" and start the service
      
3. Enable RDP-Tcp Audio Mapping
   1. Open Administrative Tools => Terminal Services Configuration
   2. Select the "Connections" node on the left side
   3. Right click on RDP-Tcp on the right side and select "Properties" (or double click RDP-Tcp)
   4. On the "Client Settings" tab, uncheck "Audio mapping"  (checked items are disabled)
      
4. In the Remote Desktop Connection window (client side), enable audio playback on client computer
   1. Show options by clicking "Options >>"
   2. On the "Local Resources" tab, select "Bring to this computer" in the combo box under "Remote computer sound"
      
5. Connect to the remote server and you should have sound.

Note: you should only enable sound on the server if you have a good reason, e.g. I edit my DVB-T recordings on the server. Otherwise, leave audio off for stability and security reasons.