Windows will feed sound from your computer to only one output at a time. This means that if you have the sound going to the speakers plugged into the back of your computer then when you plug headphones into the front of your computer the sound will continue to go to the speakers.
To update the computer settings to actually feed the sound to the headphones instead of the speakers means that you have to right click on the volume control in the taskbar, select to go into the device settings and switch the default device over. Rather than have to go through all these steps every time you need to switch the output you can make things much easier for yourself by installing an extra program into the task bar that gives you direct access to do the switch.
Since the different versions of windows work differently in how they provide access to these options a different program is required depending on which version of windows you are running. The best one I have found for Windows XP is called STADS while for Windows 7 Audio Switcher provides the same direct functionality.
This article written by Stephen Chapman, Felgall Pty Ltd.