This can be done in VLC. Just open your videos in separate windows and adjust the settings:
Open Tools -> Preferences (set Show Settings to All).
If you use DirectX, then go to Audio -> Output modules -> DirectX and Output device.
If you use Waveout, then go toAudio -> Output modules -> WaveOut and Select Audio Device.
Remember to press Save to save VLC settings and restart VLC after that to make sure changes are enable
(From VLC help "Change output device in case of multiple audio devices")