Type Sound Settings in the search bar in the lower left hand side of the task bar. Once the window populates, look for the Sound Control panel option. Depending on your version, it will either be on the right hand side or you will have to scroll down the page. Once you click on it, the below is what you should see. 

Here, you will see all the Sound options available to your device. Please click on the one you want and click on Configure in the lower Left.  The Green checkmark shows you what source the sound is currently playing to.