first check windows volume and application volume levels. if both are at levels which should be loud then it may be that your motherboard is not able to power them correctly.
what headphones are you trying to use?
depending on what you have you may be able to get away with a cheap card such as a xonar dg ($30) or as crowe suggested the dx ($80)
however, i also second the idea of testing them out on another device as razerz suggested.