I checked. It is the default device, but it also shows the speakers as an option. If I remove the speakers, it plays everything through the headphones. The moment I put the speakers back, and have the USB as default the problem returns.
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I built a music centre using a desktop PC running Win 7. Put on a music keyboard via a Midi interface, and using external speakers off the computer to play back the sound. The keyboard would only play via its own speakers, although it interfaces well with the PC for recording...