I have got VNC to work, but i doesn't support sound!
If you set up VNC to control your server, you don't need any sound in your laptop, right? The sound should be working fine on the server, just like it is when you sit in front of it.
I am assuming you have set the server on the comp with the speakers, so is there any way to prevent needing to change desktop, using WMP, wimamp, or another program?
"Correct", and "no". That's the bad part about this solution. You need to switch the desktop (starting the VNC client) to control the music player on the server.
There are some solutions that might work better for you, like a music server with playlists and voting and stuff over HTTP. (Supposedly useful in an office, where you play music on a central computer.)
Check sourceforge for that.