You might need to install a driver to use the USB headphones. Got this from a review: (The Megalodon can only connect to your PC via a USB port. Also, it is only compatible with Windows XP and later. That said, we did have a few issues in getting our Windows XP computer to play nicely with the headset. It took a few unplugging sessions before the right sound kicked in, but when it is properly set up, your sound properties should say Razer Megalodon.)
You have to choose your audio source.
The Megalodon has it's own audio processor as do most usb headsets.
Either choose onboard or the Megalodon.
That's why alot of people choose 3.5mm plug-in headsets instead of usb.