How to activate Bluetooth headset more easily?

I'm using a Bluetooth headset with my Windows XP laptop (mainly for
listening to music and talking on Skype). While everything basically works
it requires too many steps to activate the headset. Establishing the
connection between the laptop and the headset is no problem actually.
However when the headset is switched on Windows XP still uses the built-in
loudspeakers. I have to restart each and every application (Windows media
player, Skype, browsers when I watch videos online etc.) - otherwise the
applications don't understand that they should use the Bluetooth headset
now and not the built-in loudspeakers anymore. I wonder if there is
anything I can do to activate my Bluetooth headset more easily. Is there a
configuration setting in Windows XP I could change? Is there any utility
on the net which might help here?

Thanks in advance,
Boris