Pavilion dv7 only some of the sound comes out me headphones

This problem has been happening since I bought my HP Pavilion dv7.  I can play a game by myself and the audio will come through the headphones, but if I am in a skype call, only the call goes through my headphones and the game audio comes out the internal speakers.  Is there a way to fix this?  And did I do something wrong in the first place?

Thanks.