Changing sound channels

Im not so sure if this is the right area to post this in, but to be honest I don't see any other place where this would fit.
So, apparently changing the sound output channels is not possible from the sound options, and I honestly think this is just silly.
Most of the games allow this option, and it would be really nice to be able to get the game sounds to my headphones whilst having my speakers also enabled, without having to mess with the computers sound settings everytime I play.
I sincerely wish that this gets implemented soon because as much as I like the Final Fantasy music, I'd still like to be able to hear the game sounds as well as listen to music from my own speakers.