um, simply right-click the speakers you don't want sound to come through and click disable, if i'm reading your situation correctly
what kind of headphones
try restarting the computersometimes my sound driver will forget itself over and disable my speakers
Try disabling the monitor speakers.
disable sound. monitor speakers = ew
have you tried it with other headphones
is everything plunged in right, unless you are using the headphone jack on the computer