Well! Look at the back of your CPU there will be three to four plugs for the headphone. One is usually for mike, the other for the speaker and the last one for the headphone. There must be a sign of headphone there. You are surely not putting the headphone lead in the right plug. Moreover, after attaching the headphone in the right plug, you will get an option on your computer, if it is Wind XP about the headphones and you have to opt in to get them working. Still if does not work then there can be a problem in headphone as well. Please check now and have fun!
Headphones
Headphones