Thanks for the replies. I spent ages trying to get this to work before I posted... as so often, the Windows settings pages I get never look the same as the ones one finds by Googling - or they don't even exist at all. I looked through the PF3 'Advanced Options' page too, but didn't see anything relevant. Sounds like that was my fault?? *
I am encouraged by your replies to give it another go though!
*EDIT.. yes I didn't see the Audio Configuration window!

I have set PF3 for my headphones, but the problem I still then have is to stop the sim playing engine and ambient sounds via the headphones as well. That is a definite 'no no' of course and I can only see a few Windows apps in the Mixer settings.. the flight sim is not there ('App volume & Device Preferences' page).