you mean like intel hidef audio http://www.intel.com/design/chipsets/hdaudio.htm "Consumers also want the ability to play back two different audio tracks" e.g. windows media player via speakers and hl2 via headset. many on board solutions can do this but its not as great as they say. i have an intel msi board that can use the front panel audio and rear panel to play different streams, but you have to use the windows mixer to change auido devices as when an app loads the current device is used as the play back device, then change device again and load the next app. more than one sound card is a better soluation as example with winamp you can configure which physical device to use. may be able to explain better 2morrow as i have had a drink sorry but hopefully i wont be completly wrong in the morning lol
Get a usb headset. They install as their own sound device so you can then setup programs to use different sound devices (aka cards) using a program called http://www.quicksoundswitch.toflo.de/eng/index.html
That's how I do it. You might do it differently but this is the easiest way for me to play games and still have the latest NIN album playing in the background through my Polk hi-fi speakers.