Need some help regarding headset configuration

I'm running FSX with Squawkbox4. I am trying to configure my sound so that aircraft sounds will come out of the speakers and ATC will come out of the headset. I have SB4 configured for the headset (xmit & receive) but I can only get sound one of 2 ways. Either everything through the speakers or everything through the headset - I can't get the two "split". Is this possible to do. Am I doing something wrong in the setup. Thoughts and help are appreciated as always!