At the audio selection make sure to set it to gaming and heaphone for the speakers. I think your setting right now is with a speaker not headphone. Adjust the equilizers, bass, eax, crystalizer,3d, etc and finely tuned it for headphone use and save that setting. I highly doubt your audio settings is optimized for headphone use.
Did you try the headphone with other computer and cd playing to see if it's not the one causing the problem?