I've been using Guitar Rig 4 for a year or two, and it's a fairly useful toy for a bedroom guitarist. Currently, I use a Behringer UCG102 USB interface, which has a guitar in and headphone out.
When connected to my computer, it works fine, I get the modified audio via the headphone out. However, if I want to listen to practice materials, media on my laptop for example, and play along, I have to jump through a few more hoops; my current setup is to use a 1/4" lead from the headphone out to my amp, use a 3.5mm cable from the headphone port on the laptop to the same port on my amp, and then plug headphones in my amp. This way I can get both my guitar audio and computer audio at the same time. It's convoluted, but provided I have an amp, it works.
However, I'm away from home at the moment and don't have access to my amplifier, though I have a guitar and USB interface along with GR software. I can't seem to configure the ASIO4ALL drivers in such a fashion that I get the normal laptop output via the USB interface, without cutting off the output from Guitar Rig. Can anyone advise me on a way to have the two working simultaneously?