Windows 7 and Windows 8 provides users with the option to play remote desktop audio on their local PC. The Remote Desktop Connection can be launched in Windows 8 & 7 by typing mstsc in Run dialog (Win key + R) or it can be accessed in Windows 7 via Start -> All Programs -> Accessories -> Remote Desktop Connection
In order to change the audio settings click on the Options dropdown and select Local Resources tab. This would display the following options
Now click on the settings tab to display the audio settings window as shown below
Using the above settings windows you can click on the Play on this computer option to play the remote desktop audio in your local desktop.