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Windows doesn't explicitly allow per-app mapping of audio output, though some programs, especially audio playback ones, give the ability to manually select an audio output device. What you can do is set a program to use a non-default Windows Audio Output Device, while the rest of the system uses whichever device is selected as the default.
This opens up the second problem: You need two audio output devices for this to work, which means a dedicated soundcard. Audio hardware is not designed to use different output ports at the same time; eg, you can't use both a headphone out and speaker out on the same soundcard simultaneously.