The answer you seek is usually only within a specific program.
For example: In Skype, you can open the audio properties from the options window and manually select which output device you'd like to send the sound through.
However, for any programs that don't allow you to manually select your audio output device, you'll have to use your control panel, under "sounds and audio devices", and change the default output device. (that's in the audio tab)
You may consider setting the default to your internal motherboard-based sound controller, and adjusting your media player manually within the options menu, to only use your external sound card to deliver audio. If your media player doesn't have that option, try downloading one that does. Since I've never tried this I wouldn't be able to make a recommendation, but try maybe VLC media player, winamp, real player, or any other.
I don't know if windows media player 10/11 will allow this. Just fiddle around with the options till you find one that works for you!
:-)
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