If your HDMI connection is used to display a movie on a TV set, then there should be no problem, in the old days I used to used an S-video cable and an audio cable to do just that.
However, if you mean the actual Windows sounds, such as the little clicks and bells which you might set up for your window openings or explorer page changes or menus, etc., then I don't think this is possible. I am not aware of any "extended sound field", I think audio output is rather separate from video output and usually Windows have only one audio output. for example, suppose you use headphones with your laptop. Then all sound goes through the headphones, you can't set them up in addition to your laptop speakers.
If I am wrong, then maybe someone will correct me. If there is a possibility fro two people to use the same computer at the same time for e.g. talking on Skype with headphones and watching a movie with speakers at the same time, I would be very interested in how one can achieve that. But as far as I know, this is impossible.