Listener Question - No Sound in Headphones in Windows

When I plug in headphones, the sound still comes out of my speakers.

Windows should ask or automatically set up headphones when you plug them in to an audio port on your PC or laptop. 

If not, try the volume control (speaker icon) in the system tray bottom right.
Select sound output on the bottom right hand choose from the options. 

Hopefully you will see your headphones.  Note: More settings at the bottom

Image: Screenshot by MITE Radio (sharing welcome and encouraged)