SSH itself doesn't have a facility for graphics or sound forwarding. The X11 protocol is network-ready¹, which allows GUI applications to be very easily forwarded over the network: all SSH has to do is to forward the network connection. The side where applications display has to have an X11 server; in addition to being an SSH client, MobaXterm includes both a terminal emulator and an X11 server.
Sound doesn't work that way, but you can make it work that way by using a sound server](http://en.wikipedia.org/wiki/Sound_server). This means instructing the sound-producing application to use a network protocol, instructing SSH to forward the network connection, and having an application that plays sounds as received through a network connection on the client side. MobaXterm doesn't include the sound playing part, and Windows itself doesn't either (of course not) so you'll need to install one.
paplay talks to the PulseAudio sound server, and you can forward that connection through SSH. On the remote machine, run
pacmd load-module module-native-protocol-tcp
(it may already have been enabled system-wide). You can also do this through paprefs. You should now have a file called
~/.config/pulse/cookie depending on your distribution. Copy that file to the Windows machine.
With the SSH connection, forward a port to port 4713 on the server, say 4714. (You can pick 4713 on both sides; on the server side it has to be the port where PulseAudio is listening and that's 4713 by default.) (With the OpenSSH command line, you'd do
ssh -L 4714:localhost:4713).
On Windows, install the PulseAudio port. I don't know how they work as I've never used them; you'll need to point them to the cookie file and to the forwarded connection (port 4714).
See also the official instructions (not all that helpful) and grawity's post on Super User which also explains how to transmit the PulseAudio connection without using SSH (this means less latency but is insecure and may be blocked by a firewall).
¹ By which I mean, it uses a protocol that is a network communication protocol in the first place.