Have you tried going into "Control Panel" and then "Sound". Highlight the speakers and then click the "Properties" button. Next go to the "Enhancements" tab and make sure none of the options in the list are checked. Well, except for possibly "Loudness Equalization". Anything checked in there will alter the sounds. Once done with that tab, if you make any changes to it, click "Apply".
Next click on the "Advanced" tab and make sure the right format has been chosen for your system. You may also wish to check both boxes in the "Exclusive Mode" section. Again, once you are done, click "Apply" and when finished in this window click "OK".
You should also check to see if this occurs with all sounds, through all programs, or just specific ones.
Should none of this resolve it, then I would look at the type of headphones you are using compared to the speakers that come with the device. The quality of the headphones may well be better than the speakers.