I want an application which supports 2 sound cards simultaneously in Win XP with any media player.
The software which is built for the projects like yours is called Virtual Audio Cable which is able to transfer audio streams between applications and devices. You don't need additional hardware as VAC is a virtual audio card itself. It is great for generators/synthesizers/sequencers and of course, audio players. You can record the mixed streams and use them for any project you have started.