X doesn't have any built-in methods for sending sound remotely, however there are a few ways I know of to do it if both computers are running Linux. One is the "esound" package, and another is "NAS" (network audio system). I don't know which is better, and I've only personally used esound, and that was years ago. But you'd need to forward a second port through ssh along with the X session port, and have the client software on the laptop.
There may be other software around that does the same thing besides the two I have heard of, and any of them might have a client for Windows if your laptop is not Linux-based. Or you could try using VLC and its network streaming features, or just mount the filesystem (where the videos are) from the desktop on the laptop and play the files directly.
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