I didn’t either, but if you use WMP (I’m going by WMP9, so this could vary), it looks like it could be done. You’d need two sound cards. What you’d do is have one sound card as the main one, and then in WMP assign playback to the soundcard.
You would go about assinging it as follows: Tools -->Options—>Devices tab.
Go down and highlight Speakers. Click ‘Properties’. You’ll have a drop-down menu of what device to playback sound through.
I don’t know what else is available, so you might want to do some research.