since it appears no devices are being shown i would suspect audio drivers are not installed.
step 1- uninstall any audio drivers you may have installed
step 2- install the proper sound drivers for your motherboard
step 3- double check per the motherboard manual that you have the front panel audio connector correct
with that done, restart the computer and check your audio devices. you may also need to right click and show disabled or disconnected devices in some cases. plug your headphones in, they should be automatically selected as default device. if not, set them as default device and run test.
it should not be said but make sure mute is off and volume is at least at halfway.