Hey Smophiez,
Sometimes Windows sets one device as the communications device (ex. for Skype), and another to the normal audio device.
To change this, right click on the volume control icon right beside the clock, and click Playback Devices. You should see a list of different audio devices, for example "Headphones" and "Speakers" or something like that. Anyways, pick the device you want, for example your headset/headphones, right click on it, and click "Set as Default Device". Right click on it again, and click "Set as Default Communications Device". This way, all audio will be routed only through that device that you've picked.
