This (generally) isn't a Windows 7 issue, but one of hardware. The output to your headphones is typically linked to the one going to the speakers. The device/drivers have to support the behavior you are asking for, and most don't.
You would be best off adding a second audio interface. You can pick up a $2 interface for your headphones, and leave your good sound card for music your speakers, or vice versa. There are higher quality interfaces out there.
Another alternative (depending on your sound card/drivers) is to use the surround sound outputs independently of each other.