Just want to post it here as I saw someone asking earlier and it took me quite some time to figure this out:
For PC gaming with SBX Pro Studio Surround using headphones:
(1) Disable "Direct Mode" and enable "Surround".
(2) Set speakers configuration to 5.1. It doesn't matter you whether you set it in Windows' control panel or in Creative's SBX Pro Studio, they will cause each other to change.
(3) Plug in your headphones. This will automatically change the headphones/speakers setting in SBX Pro Studio to "Headphones" - but Windows' setting will still stay at 5.1 (there is no headphone setting in Windows).
(4) Go into the game, set it to surround sound or 5.1 if there is such in-game setting.
Steps 2 and 3 are crucial. I've tried setting speakers configuration to 2.0/2.1 before plugging in my headphones, with rest of the settings unchanged and as described above, the sound positioning is noticeably worse. I suppose the SBX Pro surround feature does take advantage of all 5 + 1 channels and maps all of them to the headphones.
You can still change the speaker settings in control panel to 5.1 after plugging in the headphones, but that will cause the speaker settings in SBX Pro Studio to change to 5.1 (instead of headphones) as well. To go back to headphones mode, you have to manually change it in SBX Pro Studio, or unplug and then plug-in again your headphones...
I have to say, once the surround is set up correctly, the sound positioning is really awesome. I was playing Battlefield 4 last night and can easily hear where all the helicopters and jets were, and where the tanks or snipers were shooting me from... awesome stuff.