First off, make sure you've got them plugged in fully. Right click on the 'speaker' icon in the taskbar and select playback devices. Your headphones should be listed there. If not then either the connector on the pc is faulty or the headphones are not plugged in correctly.
You have got them plugged in the correct place?
Quite often there is another connector close by for microphone. Sometimes they are colour coded, pink for microphone and green for headphones.