Audio Devices

I recently purchased the Avermedia Live Gamer HD capture card and the only way for it to record game audio is if i use the "audio in" port or select it as default in my playback options.
http://puu.sh/1SZpI

I use headphones with a built in usb sound card so if i select it as default i can't hear the game audio myself. (or any other audio)

I have virtual audio cable and can't figure out a way to bypass this.

What i need to actually happen is pretty much use 2 different output devices at the same time, or listen to the output devices with virtual audio cable in some way, but i can't figure out how.

Any help would be appreciated.