Thought it was going to be a post on the LAME mp3 encoder :).
Your DAW/Audio Interface/Midi Controller has likely 'appropriated' your Playback device ... because you've likely configured the DAW to use ASIO or Interface/Controller WDM Drivers.
So either:
Get the output of the Video Player to that Playback device.
1. Can it be set from the Video Player?
2. Right click the little speaker in the taskbar to bring up Control Panel>Sound
You'll see Playback and Recording Tab. Set you default device to your Audio Interface/ Midi Controller device.
or
Set you DAW drivers back to MME ... but then you'll incur higher latencies.
or (my preference)
Use
Voicemeeter which is a Virtual Mixer, with multiple ins(3)/outs(2) including a virtual ASIO low latency input channel, and ASIO output capabilty, that will likely achieve what you need and more.
Donationware - please donate if you find it worthwhile.
(no association with the developer).
Where I really came across this piece of software was when I wanted to record a video screen capture and live playback from Sonar, into the recording, for creating video tutorials.