As you've noted, many applications don't allow application-specific choice of playback ... they simply use Windows' default audio device. For those, you simply have to select the output through the audio control panel (with most sound drivers, you can get to this more directly than using Control Panel -- just right-click on the speaker icon in the taskbar and select "Playback Devices").
There's no way to select multiple devices .. so you can't get both speakers and headphones at the same time unless you connect them both to the same audio output (i.e. don't use the front-panel headphone jack). If you want to do that, you can use a splitter device on the speaker output [
http://www.monoprice.com/products/product.asp?c_id=102&cp_id=10218&cs_id=1021802&p_id=667&seq=1&format=2 ]