In the lower right corner, you should see an icon that looks like a speaker. If you don't, there should be an arrow that will expand the icons that are in the lower right corner near your clock time. Click the expand arrow, then RIGHT CLICK the speaker.
Left click sounds
You should see a dialog box that is titles "Sound" with three tabs: Playback, Recording, Sounds.
Left click Playback.
Make sure that your headphones are located there. Highlight the headphones by left clicking them, and then click the button "Set Default". That should get the sound to go out your headphones.