Realize o procedimento conforme o Sistema Operacional.

Server 2003

Go to:
Start >> Programs >> Administrative Tools >> Terminal Services Configuration

On the right side of the MMC highlight RDP-Tcp
Right-click and choose properties
Go to the Client settings tab

Untagg the Audio mapping and press apply.
You will need to login again to make it use the new settings.

Server 2008

Go to:
Start >> Programs >> Administrative Tools >>Terminal Services >> Terminal Services Configuration

In the connection windows highlight the RDP-Tcp connection, right-click and choose properties
Go to the Client settings Tab.
There you will find the redirection of Audio disabled by default.

Untagg the Audio and press apply.
You will need to login again to make it use the new settings.

XP / Vista / Windows 7

The clients don’t have the terminal server configuration mmc, so this has to be changed from within the Local Group Policy.
Go to:
start >> run >> mmc.exe

Go to file >> Add/remove snap-in
In the list choose Group Policy object editor and click on ADD
Default option is local Computer >> Click on Finish
Click on OK

Realize o procedimento abaixo:

Local Computer Policy
>> Computer Configuration
>> Administrative Templates
>> Windows Components
>> Terminal Services
>> Terminal Server
>> Device and Resource Redirection
Here you will find the option: Allow Audio and Video playback redirection
This setting needs to be enabled

fonte: http://www.emware.nl/articles/no-sound-in-esx-esxi-through-rdp.html