UPDATE: Just FYI, struck out on the Microsoft angle. Direct from Microsoft's documentation for the ActiveX control I'm using:
Windows Media Player ActiveX controlBy default, the Player control uses the audio device designated as Default DirectSound Device. The audio output device cannot be changed programmatically.
So that leaves me with trying to find a solution for iGuidance or finding some kind of utility program (or I guess re-writing my video player to use some other software for playing AVI's).