Your Windows PC, laptop or tablet can have a lot of external devices plugged in that will play sound here are some examples on just one of my PC's: 

• 3.5mm stereo socket's (headphones, speakers, even 5.1 surround sound systems)
• USB speakers 
• USB headphones 
• Bluetooth headphones
• Other Bluetooth speakers (There is a trick here as well) 
• HDMI (often combined with video) 
• Optical (Fibre optic cable) 
• Coaxial (RCA) 

To tell Windows where to send your sound follow the steps here