I have the same problem - when I first installed my EMU 0404 USB - there was an Analogue output available in the playback devices in the Windows sounds settings. You used to able to just select it as an option for playback from there. Have a go at that.
I don't know what happened on my system, but one day the analogue out disappeared and I was left only with digital out. I'm unsure if it was a driver update that was the culprit or what - im using version 1.3. As I don't have a digital mixer, its not very helpful so I'm effectively limited to using ASIO to play sound via the 0404 - I was forced to use either my DAW or Traktor to play audio via it. I imagine any other program that can use asio will allow you play audio via the 0404.
If you want to use media player and ur in a similar boat you can try this:SourceForge.net: ASIO Window Media Player Plugin
It didn't want to work for me, I'm using vista home premium / wmp11.