I Can’t Get No..Sound From My Headphones

I built a PC with the following : an ASUS A7N8X MB, 2500+ Barton, 80GB WD hard Drive, An ASUS 52X CD-ROM, a Plextor DVD-RW, And Win XP Home. The hard drive is on the primary IDE channel by itself. The DVD-RW is the master and the CD-ROM is the slave on the secondary IDE channel. I have a two pc speaker with subwoofer set.
Now here is my problem:
Both CD drives will play a music CD just fine. The problem is that when I plug my headphones into either one the music still comes out of the speakers and not the headphones!!! I have tried changing the property settings of the CD devices but this has not worked either.
Can anyone help me with this problem ??