When they are plugged in, in "Control Panel" then "Sound" and on that playback tab, right click on the headset and make sure it is set as the default (when connected/plugged in). Then when unplugged it should automatically make the laptop's speakers the default.
If you still hear nothing from them, and the sounds on the computer work when the are not connected, then I would say there may well be something wrong with the headset. I would try using it on another device. If it works on the other device, then there may be a problem with the 3.5mm port on the laptop where they are connecting.