I have an Audigy SE sound card installed in a Vista 32 bit system and there is no problems with using headphones with it. The EQ (Bass/Treble) does not change using headphones.
Do you have the latest Windows 7 64 bit Creative drivers
? If not install them and see what happens. If not you may want to reinstall what you have and see what happens.
Do you have the correct front panel connection to the Audigy SE?
Finally, how do you connect your Sansa E260? Is it connected via USB? and if it is, it is probably setting itself as the default playback device.