Okay so before I was using a headset that used jacks and the soundboard/On-board sound.
I was able to use a Realtek manager or something to change the sound effect to say, alleyway or parking lot.
Does anyone know if there are any programs that allow you to do this with a USB headset, as USB headsets have their own soundcard or whatever built-in?
There may be a software suite associated with your headset that will allow you to do that - check it's website for one.
Firstly, what model is your headset? If it's a generic $10 headset you find at Big W, Wallmart and the sort, then it's a case of "get what you pay for".
If it's something like Logitech, Thermaltake, Razer etc, search their websites for sound drivers.