I game on a 22" computer screen with no speakers. The only inputs on the monitor are VGA,, DVI and HDMI. I really need sound so I bought a dual female adapter with a headphone jack on one side and the AV sound on the other. It works great but I soon realized I have the same problem, I connect the HDMI for picture and therefore can't use that female adapter for sound.
I really don't get why I can't plug PC gaming headphones in the XBox 360 USB port and get sound but that's just bad design.
Any idea of how I can get sound on a monitor without speakers and only an HDMI, DVI and VGA port?