Do the headphones work on anything else?
Do other headphones work?
Need to narrow down the problem to headphones, sound card, computer, or configuration.
Are you sure that you have plugged the headphone plug into the correct port? Is the plug secure and firm?
Use the speaker icon (lower right corner) to go into Playback devices and check the sound card settings. Lots of properties and options involved.
Try "Troubleshoot sound problems". That process may identify the problem.