Can you listen to bloutooth headset on pc while still useing speakers?

I just baught a new Dell XPS desk top and I got the Dell BH 200 Blue tooth head set so I can listen to music from my pc from anywhare in the house.My boyfriend is a gammer so my question is this,if hes playing a game can I use the headset to listen to Windows media player and him have his sound for the game at the sametime?I thought I had sound comeing from my pc speakers while I was useing the head set the otherday but now all the sound comes from my headset unless they are disconnected.If you know the salution to this problum a discription of how to solve it would be awsome.Thnx in advance for any help