At the XP computer and in the RDP terminal the sound icon is showing. However, when I'm logged in through RDP, I cannot hear any sounds from the session either from the RDP client or at the XP host computer. Where can I go to configure sound? Can it be done in gpedit.msc? I looked there but didn't find it. I would prefer to have the sounds play on the XP host but playing sounds to the RDP client will also work, so long as I can get sound.
On the initial RDP dialog, where you enter the address of the machine to which you want to connect, there is an Options button. Click that and go to the Local Resources tab. Choose the appropriate setting for Remote computer sound.