First you need to install VB-Cable and download the audiorouter.
Virtual Audio Cable
Audio Router
Then make sure that for all recoding/playback audio deviced in the soundsettings the exlusive mode is disabled.
Next configure your "Default Playback device" in Windows Sound options to be the device you want to here on, eg. your headphones or speakers.
And configure the "Default Recording device" in Windows Sound options to be the device you want to recode on. Usually your Microphone.