This problem is one I have hit several times and you can search as much as you want, using the AxWindowsMediaPlayer or WindowsMediaPlayerClass or anything similar, it cannot be done. I have tried many times to find such a feature. However, you should take a look at the following three things:
1)
http://www.asio4all.com/[
^] - ASIO4ALL is software that will run on many hardware devices and allows easy interfacing to hardware. It is what I have used previously to solve the issue of not being able to select devices. It is also far more powerful a tool for sound engineering in general.
2) To use ASIO4ALL I used NAudio. It is a very good, comprehensive library that allows MP3, Wave, Ogg and other formats to be played using ASIO. You also get very low level control over the sound - individual bit and bytes if you really fancy it - but it provides high level facilities as well.
http://naudio.codeplex.com/[
^] (You should also note that it comes with UI controls as well for things like Wave Form Rendering - while NAudio takes a little bit of effort to use at first, it is very powerful once you get it working :) Oh and it's an ongoing development so should remain up-to-date :) )
3) I would suggest having a look at my article in which I create a wrapper for the WindowsMediaPlayer class. I easily adapted this to use the ASIO4ALL player.
Media Player Class[
^]
Hope this helps,
Ed :)
P.S. If you get stuck with NAudio, contact me and I can provide good samples of what I have done, but they are too much for this answer ;P