In the case that you have a built-in sound card on your mother board, something most consumer motherboards have now a days the case might be that Windows is still trying to output sound through the built in sound card instead of sending the music through your headphones.
If you right click your speaker symbol down to the right on your screen and choose
Playback devices, you will be given a list of devices which can output sound, like the screenshot below. You should be able to see your headphones there. If it is not there then Windows is not recognizing your headphones and you have to find out why. Chances are that you just need to install proper drivers for it.
In the case that you do find your headphones there, it should have a green circle with a tick inside it like the screenshot below telling that is the device being used for outputting sound. If not, then it is simply a matter of telling windows that you want sound through this device instead of the other device used before.
I have no way to test this here so I leave the rest for you to find out. At least you can debug your problem further with the little information I gave you.