There are “routing” utilities like Jack & Virtual Audio Cable that might work for you (with your regular audio/media player software), but I can’t believe it’s worth the headache or the cost. (And, you’re probably not going to get much help because your trying to do something that not many people are doing.)
Realistically, you should think about getting a 5.1 (or 7.1) channel soundcard. They some in USB, or PCI varieties if you have a desktop/tower computer. (Be careful about the advertising claims… There are soundcards sold as 7.1 channel, that are nonsense “virtual surround” with just one 2-channel headphone/speaker jack and one microphone jack.) Or if you have a home theater system, you can plug-in digitally via S/PDIF or HDMI (if your computer has one of those ports).
In addition to what Steve says, Audacity is not really an audio player. It’s an audio editor.* There are lots of audio/media player software that can play surround sound and lots of surround-sound formats. But, the only truly-standard surround formats that “anybody can play” are DVD & Blu-Ray, and it takes DVD or Blue-Ray authoring software to make the proper-compatible format/file structure.
And although Audacity can create/edit multichannel files, it’s not the best editor for that since you can only monitor your work in stereo.