If set up correctly in the remote desktop program, either by the correct option on the command line, or by selection the correct option menues, sound from the terminal server should be delivered to the local machine (the one you are sitting in front of). If the connection is correct, you should hear the normal Windows chimes when you log into the terminal server.
Control of the volume is primarily done on the local machine, but some control is also done on the remote machine. For instance, to select the audio to come from the headphone jack on a SunRay, use the Solaris Audio Control option under CDE Applications and select Headphones. On a PC or Mac, use the normal audio controls.