i saw that page but it doesnt give what connector it uses.
if it connects up to console it has a single plug (4pole 3.5mm) which will NOT work with pc without adapter. pc uses two (3pole 3.5mm) cables - one for audio and one for mic. they do make 4pole to 2x 3pole adapters (phone headset to pc adapers they are often called) though your headset may have come with one of those.
if you are using said adapter, you did not list that info...
be sure to check your default recording device in windows as well in case it is not selected right.