1> Is the front panel connection correctly plugged into the motherboard?
2> Did you make sure the onboard sound is enabled in the BIOS?
3> Did you install the sound drivers for the motherboard, and configure the sound application program for headphones at the front case connection?
Check the front panel connections provided if you installed the cables properly to the headers on the board. If you did check the drivers under device manager. If there is no sound device beyond a simple ms codec ect then chances there might be an issue with the onboard intergrated sound. In that case you may have to purchase a audio card. Creative sound cards can be hit or miss when they work drivers come with a lot of bloat ware.