Windows media player device output selection

In previous versions, I have been able to choose which device to output audio
to. I have a bluetooth headset and a regualr creative audigy 2 soundcard.
Sometimes, I want to be able to change the output from windows media player
to the headset, without needing to change the default device for the entire
system. How can I achieve this? There is no option under devices, just a
catch all for speakers. There is no option under plugins. I have windows
media player 11 to be many steps backwards from earlier versions. It is
limited in many ways that I do not like.