You used to be able to do this in previous versions of Windows, but that functionality has since been removed in recent versions. Your sig says your running Win7 Ultimate. There is currently no native support for running multiple audio devices simultaneously. I tried doing the same kind of thing a while back (almost a year) and found no work around. There may yet be one, but I am not aware of it (I haven't looked since last fall).
EDIT:
you can set the video playing software to utilise the onboard
Sorry, this should definitely be possible, but only if your video software supports the audio device configuration. Make sure to check the box in the device properties that says "Allow applications to take exclusive control of this device" (right click the sound icon > playback devices > right click the device > Properties > Advanced.
New member? Introduce yourself here, learn a little of what we are about here, and refer to some simple rules here.
Though typically not required or enforced, here is a list of guidelines on proper forum etiquette. [Work in progress]
The Crosshair GENE will come! - Show your support HERE!SYSTEM SPECS