Unfortunately, you can't do that, unless I'm misinformed. There is no way to 'split' the audio from the game.
Your best bet is to route all the sound through the headset. On win 7 right click speaker in the system tray. Click Plackback Devices. Set the headset as default playback device. You'll probably also want to go into the tab on the far right, communications, and set "do nothing" for the radio button. Otherwise volume will drop as soon as you talk.
If you set it up like that, as soon as the headset is plugged in, all sound will go through it. Unplugging the headset will automatically send the sound through the speakers.
I always prefer people who have a proper headset. When playing with someone who has speakers/mic, hearing my own voice with the delay through someone else's mic is disorienting as hell. I really can't deal with it. Look up "Speech Jammer Gun" on YouTube. Not to mention that hearing sound effects/music through someones mic is downright annoying.