VMware ESX/ESXi does not have a virtual sound card device emulated. So there's no direct support for sound within VM's running on ESX/ESXi hosts. However, sound can be played on the remote desktop client if you've set your client to redirect and play locally (assuming your thinclient/remote desktop session supports sound). Keep in mind that if you have a Terminal Server, you need to enable the "Allow Audio Redirection" within the group policy for that machine.
Group Policy>Local Computer Policy>Computer Configuration>Administrative templates>Winows Components>Terminal Services>Client/Server data redirection>Allow Audio Redirection.