On XP various sound chips may or may not have internal loopback circuitry to support monitoring the Mic Input.
This is important to understand because the Blackmagic Intensity Extreme device drivers do not appear to have an internal loopback for monitoring the Audio Inputs during capture and appear to pass-thru the audio and video to either the HDMI or the S-Video or Component Outputs.
For HDMI output the audio is embedded in the single connector.
For S-Video or Component outputs the audio is duplicated on the RCA output jacks.
I didn't run down the specific example with the chipset on my laptop, but more generally plugged in an M-Audio Sonic Theater sound card to the USB port and connected the RCA output jacks of the Intensity Extreme to the "Line Input" of the Sonic box and the Sonic box speaker outputs to a set of external speakers.
Routing the output through the Speakers was relatively easy and not much had to be setup, except the M-Audio control panel applet had to be used to "Enable Monitoring".
This sounds annoying.. but because Input Monitoring was not a "class supported" featured during the XP era, there was no "one way" of doing it for all chips. In Vista and 7 and beyond it was adopted as a class function and could be automated by visting the Input device "Listen" page to switch Input monitoring on.
Using an external "loopback" by using an external USB sound card.. was just a simpler.. more consistent work around that should work on all brands and model of PC.. since the M-Audio USB sound card has a "Monitoring" check box exposed in its Control panel.. and its portable.
Blackmagic Media Express "might" have a "monitoring" registry key.. but I haven't found it.. and judging from the old Blackmagic forums.. it probably doesn't exist.