Use HDMI and AUX at the same time?

I want to transfer the image of my Windows 7 laptop to a projector via HDMI. The sound should not be transmitted via HDMI, but via the AUX output to a small speaker. I've seen that there are certain devices but there's not a setting in the computer without extra accessories?

Simply select the speaker in the system tray at the speaker icon.

Yes, of course that works. In the speaker setting just select the speaker box.