"Speech Recognition" and USB Headset and microphone?

I bought a Logitech USB Headset 350. Paid a good penny for them. I'm using
it for the Speech Recognition for Windows Vista Home Premium. Speech
Recognition has recongnized the headset with microphone. I would like to
know, why and how come when I want to play a music cd and bring up the media
player...I get the sound coming through the speakers that are on my monitor
instead of through the new headset. I thought USB conections were suppose to
be better than the 3.5 jacks. Logitech headset did not come with a cd nor did
it say "Vista Windows" ready.
Can someone help and answer to what I'm suppose to do to get the headset
part to work so only I can hear the cd coming through the headset?
Thanks,
Robin