Enable Audio on Windows Server 2012
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You first need to configure the Remote Desktop Connection at your local system. Open the Remote Desktop Connection and click on Options.
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Now click on Local Resources tab and then click on Setting button
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Now select play on this computer and click on ok.
VPS side
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Open the run and enter services.msc and click on ok
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Now right click on Windows Audio service and open properties.
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In the general tab select startup type automatic and start the service. Then click on ok and apply button
Done!