Can you please pass on your full systems specs including your audio equipment(inclusion of OS would also help out)? Are you sure you've connected your headphones up to the appropriate jacks? If only a headphone is used then please connect it to the green/lime green port at the back of your computer
or the green port in the middle left of the arrow below
and see if the audio device pops up on Windows' GUI.
On that matter, have you installed the latest audio drivers for your system?