Thanks for posting. This is a common question/problem with all audio devices (PCI, USB, wireless, etc.) in general.
Unfortunately, Windows XP, Vista, and Win 7 only allow audio output to a single audio device. Here’s some background (in the Win7 context, but you’ll also find some discussion about XP): http://www.windows7taskforce.com/view/76
Note that on XP, Windows allows audio to go to multiple outputs of a single device (which doesn’t help in the USB audio case, because it’s still a separate device), but on Vista/Win7 that got even “worse” in that audio could only go to a single output (even if it’s on the same device). That has caused a lot of frustration over the years.
There are 3rd party solutions to get a single audio stream to go to multiple audio outputs, but they aren’t perfect. Here is the most commonly recommended one (VAC):
You’ll want to focus on the Audio Repeater function of the software, which is what will get the multiple outputs going. Note the free trial version has some limits.
In the end, most users end up living with the one output limitation on Windows.
Sorry there’s no better answer! Whatever latency/sync limitations there might be, we believe Windows aught to support this, and hopefully will someday. Please let us know if we can provide any other info which could help.