You will then be able to play sound inside your NX session running on Linux using the esdplay program to play the file through the EsounD system. To start esdplay you should run:

# esdplay yourAudioFile

You can also choose your preferred media player as long as it provides the Esound support. For example you could use the XMMS player and ensure to select the "eSound Output Plugin" in the xmms preferences.