are you talking about gaming on one monitor whilst having a film running on another monitor at the same time, and having the sound going its separate ways? if so, i highly doubt thats possible
however, if you mean that while your playing a game you want sound to come out of your headphones, but while your watching telly you want sound to be coming out of the speaker system that would be very easy. you would just right click on the speaker symbol on the windows toolbar, choose playback devices and switch it to whatever you need whenever you need it. you might even be able to configure a button on the keyboard to do that for you