How to output audio on headset and monitor simultaneously?

[Qypav]

I have a Siberia V2 non-usb headset and a monitor that is connected to my PC through HDMI that has speakers.

I want to be able to:
only have the headset output audio
only have the monitor output audio
have them output audio simultaneously

How do I configure my PC to make this possible? I have Windows 7 64-bit.

 

[alexoiu]

With games, not possible in my opinion.
Wit music/movies, by starting two different players (ex WMP, that would output to default HDMI and VLC that allows you to select the audio device).
Both HDMI and speakers have to be enabled in Playback devices.