The Sound device will appear only in RDP session (when you are connecting from Client to server via RDP) on the server. You can see the device at Control Panel->Sound and Audio devices. The name of the playback and recording device should be "USB Audio Device".
The only option on client is "Sound settings" in Remote Desktop Connection window -> Local resources Tab.
If you log in to Windows 203 server you sound set "Bring sound to this computer" (moreover, the sound redirection should be enabled on Server side in the settings of Group Policy) in any other case use " Leave Sound at Remote Computer"
Unfortunately such systems as windows 7 and windows 2008 server are not supported yet. We are currently working on adding the support for these OSes. The support will be implemented in the next version of Sound over RDP (ETA is the middle of March)