I'm sorry.. I checked and the headphones are a part of the speaker system (A logitech one.. Don't know the model)..
So.. The Q is to make the win assign specific program for the headphones while making the rest making it through the main speakers.. (excluding the program previously assigned to the headphones).. I heard that it's possible with Win7 but I'm waiting for the final release before getting it (I'm now using Win Vista Ultimate SP2)