Open the Remote Desktop Connection App

Open the app by going to the start menu and typing in "Remote Desktop" or "mstsc" and you should see this after:

Then after, click on the "Show Options" in the bottom left, then go to the "Local Resources." After this, click on "Settings" in the "Remote Audio" section.

Enabling Audio and Microphone

Once you click settings, you will see the dialog pop up with your audio settings. You should be able to select "Play on this computer" and "Record from this computer." These two options will allow you to use your machines audio devices.

If you connect via RDP and the audio is not working, go to the bottom right of the server, and right click on the audio option and click "Sounds."

You will then be prompted with this dialog to enable the audio service, click "Yes."