Windows – Control audio on remote computer using remote desktop (mstsc), and without console session

There is no way built into Windows 7 to play the same audio on multiple output devices. You can play different audio to different devices, but would need some add-on software to play to two different devices from the same application. Applications could make it possible as well. For example, VLC could choose to output to multiple audio devices simultaneously, but rarely do programs do so.

For mstsc version 6.2.9200 under Windows 7 Pro, Local Resources tab, there's an option to "Apply Windows key combinations." It's a drop-down list. Try setting it to "On this computer," but this will also disable any ALT+TAB you were going to do on the remote machine.