Cheap wireless headphones, using ordinary batteries, can be a false economy because you end up spending a fortune on batteries. When you get fed up of buying batteries, treat yourself to these instead:
http://www.argos.co.uk/product/2473666
(They're rechargeable, so you don't need to buy batteries).
However, with any type of wireless headphones it should be very simple to set things up. If there's a channel switch on the transmitter make sure that it's set to the same channel as the one on the headphones. (If there's no channel switch, simply ignore that bit). With the radio on normal volume, plug the transmitter unit into the earphone socket (and, of course, switch the transmitter on). Switch the headphones on, pop them over your ears and adjust the volume. That's it! (Keep the transmitter unit away from other electrical equipment, such as you computer, etc. In particular, I've found that I need to keep the transmitter unit of my Sony headphones well away from my router, as it causes interference).