have you checked in your rdp session settings? when you open RDP click on the options, then go to local resources. There you will find a remote audio feature that you might need to adjust in order to get the correct results from your rdp session.

Just a thought...

If that doesnt work, you could always try dameware. Its another remote control application, but it doesnt create a new session, it piggybacks off the current login so you can see the screen and control the keyboard and mouse on the remote computer.

Drabert