What you describe is actually normal behavior for things. Most MP3s only have stereo signals encoded into them, which means there's only data enough for two speakers. The sub just automatically picks up any sounds within a certain freequency range and plays those, but technically speaking that's a form of upmixing.
What you need is a program that will take a stereo signal and attempt to upmix it into whatever configuration you want. For WinAmp, there's a plugin called Dee3 which does a respectable job of converting MP3s to 5.1 (it just uses a lot of CPU power), and for non-DVD video playback there's MatrixMixer ( http://matrix-mixer.sf.net ) which does a pretty good job.
Just keep in mind that upmixed audio will never sound anywhere near as good as discrete 5.1/6.1/7.1 audio where there's actual audio data for each speaker, not just the shunting of certain freequency ranges to the rear speakers. So don't get your hopes up for something that sounds just as good as a DVD with 5.1 audio because it won't compare.
I recently purchased a new Dell with surround sound speakers. The problem I'm having is that I can only get all the speakers to work when I play a DVD. If I play any other file, including MP3s, only the front speakers and the subwoofer work. Is that how it's suppose to be? Surround sound only works with DVDs? ANY advice would be greatly appreciated!!!

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