Well, what it sounds like is happening is that Windows 7 is recognizing you plugging in an audio device with a microphone and thus is setting it as the default communication
device. This is not the same thing as the default audio device, and so your microphone works, but your headphones aren't receiving the audio stream (which will mean certain applications like skype might be by default routed to your headphones since they require a communication device while your game still goes to your speakers).
Assuming that the headphones are working, you can set them as the default and that should move all your audio to them. For Windows 7 (which I use) it's unfortunately left to the applications individually to split things away from your default sound device, which means certain applications may be able to be moved to a device that is not your default while others will not.
So, try setting your headphones to your default device. Here are the steps (Forgive me if you've done this already):
1. Plug in the device.
2. Right click on the speaker icon in your notification area (lower right of your task bar).
3. Select 'Playback Devices'.
4. In the 'Sound' window select your headphones.
5. Click the 'Set Default' button. Then the 'OK' button.
-That should move all of your applications over to the headphones for playback.
Now, Media Player allows you to select the output device this way:
1. Launch Windows Media Player.
2. Go to Tools, Options, and click the Devices Tab.
3. Double click Speakers in the list.
4. Pull down 'Select the audio device'
5. Choose your preferred audio device (in this instance your speakers) and click 'OK'.
I'm not sure I can help you with getting your browser to play audio through your speakers though. Mine only do so because they are my default device and the output device for World of Warcraft and Ventrilo has been changed to my headset. Try that though and see if it helps to make things move to your headset a little more efficiently.