There are two basic steps which need to be taken to ensure audio is enabled on your Windows VPS. Before beginning this process, please ensure that you are logged into the Administrator account on your VPS, so that the changes can be propagated to all of the user accounts if applicable.
The first step in this process ensures that the sound functions inside your VPS itself, completing this step alone will not ensure that the audio will be played through your personal computer.
1a)
1b)
1c)
2)
If you need to enable a microphone from your Local computer to be used on the server, follow these steps:
1) Open the 'Remote Desktop Connection' program
2) Click 'Show Options' -> Local Resources -> Remote audio ->Settings -> Remote Audio Recording -> check Record from this computer.
Save those settings and then reconnect to Remote Desktop