The game client doesn't allow you to choose audio outputs, so if you switch your computers default audio (like from speakers to headset) you have to restart the game to get the audio to work.

HOWEVER, there is a work around. Download a program that is an audio manager. This program then becomes your default audio output and you can manage things from there!

Here are two programs I've seen suggested. I use just the free version of the first, but both will work. I'm sure there are others as well.

http://www.razerzone.com/surround

http://vb-audio.pagesperso-orange.fr/Voicemeeter/index.htm