If audio is not working in your server, check whether Windows Audio service is started…

How to do:
1. On Windows Run (windows key + R key), type services.msc
2. Look for Windows Audio service and check whether it is started, if not, start it

If this doesn't resolve your problem, try updating your audio drivers.

If audio is not working only when remoting, try the following:

1. On Windows Run (windows key + R key), type gpedit.msc
2. Go to Local Computer Policy/Computer Configuration/Administrative Templates/Windows Components/Terminal Services/ClientServer redirection
3. Enable Allow audio redirection

and then do this too:
1. On Windows Run (windows key + R key), type tscc.msc
2. Open the Connections folder in the left sidebar
3. Right-click RDP-Tcp, select Properties
4. Click Client Settings tab
5. UNCHECK the "Audio mapping" checkbox under the section "Disable the following:"
7. Click OK, and close tscc
8. You may see a warning which says this change will not take effect for any currently-connected RDP sessions. Click out of that
9. Logoff
10. Login

If you are remoting from a Windows XP machine, try to remote into the console by typing "mstsc /console" on run window.
If you are remoting from a Windows 7 or a Vista machine, try to remote into the console by typing "mstsc /admin" on run window.