sound from a headset and speakers from different programs

[Roadkillv1]

this must be so simple but it's annoying the hell out of me. how can i change my sound output to different devices? say i'm watching something on vlc, but talking to someone on skype. no matter where i look (in vlc, skype, and my computer settings) both sounds come through either headset or speakers, i can't make it separate. where should i be looking?