Thanks to Mr. Virtual PC Guy, the answer is here:
http://blogs.msdn.com/virtual_pc_guy/archive/2006/06/29/648105.aspx
- Go into the ‘Services‘ section (under Admin tools, under Control Panel)
- Change the ‘Windows Audio service’ from ‘Disabled‘ to ‘Automatic‘ – and start it
- Go to the ‘Terminal Services Configuration‘ section (under Admin tools, under Control Panel)
- Double click on ‘RDP-TCP‘
- Select the ‘Client Settings‘ tab
- Clear the ‘Audio Mapping‘ check box
