If you've just built a Gaming PC, then make sure the Audio Drivers are properly installed. I guess that it must be RealTek right? Best website you can download the drivers from is through your Motherboards manufacturer or Realtek website itself if you didn't yet.
If all drivers are up to date, you could try testing your Headphones and Mic in another PC if it possible. Not sure where are you connecting though, if you are connecting the Mic and Headphones on your PC Case Audio Port or on your Motherboards Jack Port. If you are attempting on connecting these on your Case instead of the Back Audio Ports from your motherboard, make sure the HD Audio cable from your Case is properly plugged to the Motherboard.
Also try checking all your Active Playback Devices on Windows Control Panel by clicking on "Sound" and navigating through Playback Devices and Recording Devices tab while your Headphone and Mic are plugged in.
If both your Headphones and Mic are listed in there but no sound is coming through even if all drivers are up to date, then my best guess is that your mic is broken.
Hope That helps.