Your Windows PC, laptop or tablet can have a lot of external devices plugged in that will play sound here are some examples on just one of my PC's:
- 3.5mm stereo socket's (headphones, speakers, even 5.1 surround sound systems)
- USB speakers
- USB headphones
- Bluetooth headphones
- Other Bluetooth speakers (There is a trick here as well)
- HDMI (often combined with video)
- Optical (Fibre optic cable)
- Coaxial (RCA)
To tell Windows where to send your sound follow the steps here