How do u separate Windows Media Player from headset?

I want to listen to Windows Media Player on Monitor 1 but I want everything else (Axon, games, Youtube etc) on the headset.

I already have Windows Media Player's device on Monitor 1. But how do I get everything else on the headset?

You can't have separate audio devices for different programs, you need to switch to the one you want to use manually. There are programs out there that lets you switch quicky with hotkeys.

There also might be a software that lets you do it, but I don't know.