Windows Audio isn't a specific type of hardware, but rather a protocol for accessing audio hardware. In the early days of computer audio there were numerous devices that could be used for sound, but each required completely different configurations. Microsoft introduced a new audio standard for Windows 95 that eliminated most of that configuration. Sound cards became basically interchangeable and, you no longer had to configure cryptic settings like IRQ or DMA, you just ran the game and the sound worked (at least, that was the idea).
Even games that still ran entirely in DOS were able to take advantage of Windows audio making setup much easier.
This protocol began putting audio manufacturers out of business because a standard model allowed motherboard manufacturers to embed low-end audio chips directly into their boards which, unless you were an audiophile, eliminated the need to buy an expensive high-end sound card.