Plugging your headphones into the headphone jack should give you sound. But, for the mic, you should plug in a microphone only, not a headphone/mic combo. If the jack adapter/splitter doesn't work, I don't know what will...
What model is it?
Try to change the boot order in the BIOS to put the USB thumbdrive higher in priority. Usually DEL or F2 to access Asus BIOS on boot up.
What model of headphone/microphone do you want to use?
Have you tried on the motherboard connectors?
Are you sure you plugged the Front Audio Panel connector correctly onto your motherboard?
Did you install all necessary drivers?