First go to run and type 'services.msc', sort by name and look for Windows Audio, make sure it is set to Auto and Started. If you have onboard and pci (stand alone) audio card, make sure one of them is disabled in BIOS and your headphones plugged into the one you enabled. Get drivers and software for your audio mfg. and install it.
Reboot and go to control panel, select sound and make sure your sound card is the default device. Adjust your volume and you should be good.