I found this from Microsoft:
Multiple audio output is not supported by windows 7. It is by design.
However you can contact the hardware manufacturer for other possibilities.
Thank you and Regards.
Microsoft Answers Support Engineer.
But with that said I also found this solution:
Virtual Audio Cable
More Info On Virtual Audio Cable
Here are instructions for doing this:
How to do it:
1) Create one virtual audio cable. Is already created after install,
it is called "Virtual Cable 1". You don't have to modify anything.
2) Run "Audio Repeater (KS)" from Start menu.
3) In the Wave In combo select "Virtual Cable 1".
4) In the Wave Out combo select "Audio Speaker" (depends on computer).
5) Click Start
6) Run SECOND "Audio Repeater (KS) from Start menu.
7) In the Wave In combo select "Virtual Cable 1".
8) In the Wave Out combo select "Audio SPDIF Out" (depends on computer).
9) Click Start
10) Run Windows Media Player, go to menu Tools, Options, Devices,
double click Speakers, select Virtual Audio Cable, click OK 2x.
11) Play audio in the player
12) Enjoy never before possible multiple output audio playback!
13) And yes I fully agree that Microsoft developers are a bunch of morons!
I have not done this and unsure how well it works.
Hope this helps!