Hmm - I have both plugged in usually. Speakers in the back, and that same headset into my USB port on the front. When I plug in the USB headset, it works fine. When I unplug it, sound goes back to my speakers.
It must be in the settings somewhere. Maybe click the little sound/speaker icon in your systray (where the clock is at the bottom right) and go to Options > Properties. See if it is different when the headset is plugged in perhaps?