According to Wikipedia, the ़ (nuqta) under the ख changes its pronunciation to /x/, which is the sound Scots use at the end of loch and the sound Germans and classical music fans use at the end of Bach.
Also from Wikipedia, here are some other nuqta consonants:
क़ > /q/
ग़ > /ɣ/
ज़ > /z/
झ़ > /ʒ/
फ़ > /f/
ड़ > /ɽ/
ढ़ > /ɽʱ/
That's correct. It's a sound taken from arabic/persian however it is often pronounced like the regular ख since it's a more common sound and most texts leave out the nuqta (not only for this one).
All of those letters have almost no difference in pronunciation with the exception of ड़ and ढ़ as in पढ़ना-to read/ study. The is not pronounced pudhna but rather purdhna. These letters produce a sort of arda sound.
Thank you all for your comments on the pronounciation of ख़. I asked a question about this in another thread because I couldn't hear any difference between ख़ and ख in the recordings, but I know that in Urdu, both sounds are pronounced differently.