In order to fix the issue, go to Start, type dxdiag in the Search programs and files field and open the utility. Click the Sound tab, check your sound card model and download and install the latest drivers available from the developer's web page.
If it doesn't help, right-click the Sound icon from System Tray and open Playback devices. After that right-click anywhere in the Playback window and check the Show Disabled Devices option. Double-click on your device and select Enable from Device usage. Click Apply, OK, select again the device and click the Set Default button. If you still have problems, make sure you connect your headphones in the right jack and check the guides provided by Microsoft.