Have you connected the front panel audio cables to the FP audio pins on your motherboard.
It may be the case.
In any case if you are using windows 7 and above.
You will have to click on the speaker icon next to you time on windows desktop.
1. Right click on the speaker icon.
2. select the playback devices from the pull down menu.
3. plug the headphones into the front playback 1.5mm jack port on the case.
4.Right click In playback making sure show disabled playback devices check box is ticked, and also disabled devices.
5.You should see a reference to headphones ect.
6 Right click on the headphones ect and select set as default device.
7. When finished, and you wish to use your speakers, set it as the default playback device.
You...