Yes you can. Depending on your motherboard or sound card you can often configure seperate playback devices to play something other than what goes through your regular speakers.
Right click the speaker icon near the clock on the start menu. Select playback devices. This list will tell you the different outputs you can set up. Here you can change the defaults. What I would recommend is leaving the defaults alone and checking to see if you get to change the playback device in whatever program you want to use a different playback device. So if you have a particular game you want to do this with I would start by trying to pick a different playback device in the game options.