Do this for both services (see Screen 5). Click the General tab and set the Startup type to Automatic. Select Start to enable the Windows Audio service and begin the Windows Audio Endpoint Builder service (see Screen 4).
The steps for earlier versions of Windows Server are the same through Step 3: Click the Options button, navigate to the Local Resources tab and be sure the Remote Computer Sound is set to 'Bring to this Computer' (see Screen 3). (Screen 2) NOTE: To use audio immediately, click the Start button in the Properties window of both services in addition to changing the Startup type. Repeat this process for the Windows Audio Endpoint Builder service.
This document will walk you through the steps for enabling audio output from your Windows VPS once you are logged into the VPS via remote desktop. Knowledgebase / Virtual Servers Enabling Audio Output on Windows VPS