Thanks ... where is this option? I can't find it in my PC version
CoreAudio is the OS X audio engine (equivalent to WASAPI on Windows) and it has native AirPlay support built in because it's an Apple technology. Windows does not have any support for AirPlay built in, and neither does Media Center.
The best solution I have found to work around this limitation is
Rogue Amoeba's Airfoil, but it's not the most elegant solution.
As far as I know, you cannot send separate streams to multiple AirPlay devices - just one audio stream to any number of devices.
If you want to send audio to an AirPlay device as a Zone in Media Center, you either need to be content with sending all system audio to the device, or doing some manual setup each time you launch the application. (it changes the default audio device to their driver)
It will also retain connections to the AirPlay receiver even if there's no audio being transmitted, which prevents other devices (e.g. iPods or iPhones) sending audio to it until you manually disable Airfoil.