I too, have been looking for a way to change the audio output device for video playback. I couldn't find a way to it using windows media player, so I looked into Direct Show on MSDN, but there doesn't appear to be a way to change the output device for the video playback through code. The only way I found to do it was to go to the control panel and change your preferred device, but even if I could change the preferred device through code it wouldn't work for my situtation.
I am still actively researching this issue, and will let you know if I find a solution for changing the audio output device for video playback through code.
Cheers,
Greg