This is both a detriment and a boon depending on your preference. Like Kaisha said, the game will use whichever audio playback device is set to default when you launch the client. To get game sounds to come through your headphones, make sure they're the default playback device when you start up the game. Personally I prefer to have all game audio come through my speakers while voice chat comes over the headset. To do this I always start the game with speakers as default, change the default to headphones, then start Ventrillo (or whatever client). Somewhat cumbersome, but I think it's more a Windows thing than anything else.