Entire Solution for Audio Mixing from VB-Audio
I recommend apps from VB-Audio, which is mostly donateware. After spending literally hours searching the web and installing a lot of random open-source software that sorta kinda maybe did something, but never complete worked, I ran across this solution. The funny thing is, I had actually gotten just the VB-Cable early on, but didn't realize their audio mixing software was fully featured, did exactly what I needed, and was straight donateware (I set what it's worth to me).
First get at least one Virtual Audio Cable device
First, get the VB-Cable version of VAC (Virtual Audio Cable). This will give you a virtual "CABLE Input" as a playback device, and a "CABLE Output" as a recording device.
For a required donation, you can get at least 2 more virtual cables (A and B), which probably isn't needed unless you are making screencasts or doing online streaming, etc. (see "banana" software below if this is your case).
You might be able to get things working with just the VB-Cable device (I ran across some tutorials and videos that claim to have, but I could not).
VoiceMeeter Mixer App
Then, also from VB-Audio, get their VoiceMeeter app. This can be downloaded for free, but is DonateWare, and this is so powerful, I highly recommend you do donate whatever its worth to you. This app will install an additional Playback device called "VoiceMeeter Input" and a recording device called "VoiceMeeter Output", plus there is a pretty highly featured App called VoiceMeeter that will mix 2 hardware inputs, the virtual VoiceMeeter input (3 streams total) and output to up to 3 devices:
2 are tied together on Channel A
- A1 say for your headset earphones
- A2 say for your PC speakers
1 is tied to the VoiceMeeter Output for sending to Skype or another app as it's input recording device
This basically lets you mix 3 different sources however you want between 3 different outputs (in groups of 2 and 1). So you can channel your microphone just to channel B, so you don't hear an echo, you can channel the output from Skype just to your local sound on channel A, then you can channel the output of whatever you are trying to play from the main system sound (such as a video or game output that you are sharing your screen for) to both local and streaming sound. This completely eliminates any echo in your local sound from your mic
More Advanced Mixer banana
They also have a more advanced VoiceMeeter "Banana" edition which can mix something like 5 sources to 3 outputs, and it requires a donation, I believe. But if you need something that powerful, they deserve what you can afford to give in my estimation (disclosure: I haven't gotten the banana one, the plain one is fine for me, but I found a video that showed it and explained how to use it).
Edit: There is a full user manual available, but I had to find it on Google because their site isn't always easy to navigate...
Also, there are plenty of YouTube video tutorials that show how to set it up to do what you are looking to do, most 10 minutes or less.
Best Answer
As far as I know, windows does not support this feature. You'd have to have 2 physical sound cards to be able to do such a thing or, if you have a decent one, the option sometimes hides in the driver itself.
more information can be found Here, Here and an old windows XP tutorial can be found Here
Good luck and have fun streaming!