If for whatever strange reason setting the output under Audio Settings | Audio Drivers doesn't do it, you can try going into your computers sound settings and try setting the device you want the sound to come out of as your default playback device and see if that helps. Normally when you set your audio output within Band-in-a-Box it will just play the device you've selected, so that should be enough. But that would be a work around if for some reason it was trying to pull a default device instead.

Cheers,
Ember