This just changes the device output and one of those devices is my BT Speakers or headphones.
Yes, and..? You select the device you want to emit sound, it starts emitting sound. Done. Make sure they're paired with your PC first, of course. If you're in W8/10, that's in the "connect" menu. You can't output sound via BT from neither a sound card (integrated or otherwise) or a GPU, as neither of those have BT transmitters. The receiving BT audio device (speaker, headphones, whatever) steps in for decoding duties, leaving everything but the CPU and the BT transmitter out of the loop. As such, the BT device appears as a separate playback device in your menu.
It's worth mentioning that most BT audio solutions have significant - and very noticeable - lag, and don't really work well for most PC use. Watching videos, playing games, whatever you do, having noticeable audio lag is a bummer. Unless your PC supports APTx (which I've never seen in a PC), you're stuck with USB wireless audio or wires.
If you're running a new build of W10, you can select your output device directly from the volume control pop-up by the taskbar. Just click its name, and a menu will appear. If you're using W7, getting BT audio working on that is a hassle like no other, and usually requires third-party codecs and drivers to work, and possibly specific BT dongles. Not worth the hassle.