Grahf is correct. You can test this with winamp. You can pick "no speakers" in winxp control panel and still get sound from winamp because its using directsound as output. In fact all the settings in winxp control panel will give you the same sound in winamp with directsound output.
Related, you can turn off valve's own stupid sound processing with "snd_legacy_surround 1" and get directsound output. Counterstrike sounds better with directsound output and CSMM-Headphone IMO. Probably less taxing on CPU too. More FPS.
Question: You can still fiddle with in-game speaker settings with "snd_legacy_surround 1" in source games. Headphone sounds best with excellent positional audio (with CSMM) but what do the other settings do? For example 5.1 sounds harsh and terrible. Does source still try to do something to the directsound output b4 sending to the soundcard?