I am currently using a Windows XP Professional desktop machine at work.

The player currently installed is Windows Media Player 8.0.

How do I set it up so that I can listen to all audio (voicemail delivered to my in-box, stored audio for educational software) by using headphones plugged in the CD jack on the front of my machine ?

I even tried listening to CDs, but the sound comes directly the computer's internal speakers.

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I tried using Microsoft help which says:

"Cannot Hear Audio Through Your Headphones When Connected to CD-ROM
Article ID : 277653
Last Review : November 3, 2003
Revision : 1.0
This article was previously published under Q277653
On this Page
SYMPTOMS
CAUSE
RESOLUTION
MORE INFORMATION

SYMPTOMS
After you install Windows Media Player 7 or 7.1, you are unable to hear compact disc audio through the headphone jack on the computer's CD-ROM drive.
CAUSE
This behavior occurs because, although Windows Media Player uses digital playback, the headphone jack on the CD-ROM drive is live only during analog playback. Windows Media Player 7 and 7.1 are set to use digital audio extraction methods by default.
RESOLUTION
To obtain playback through the CD-ROM headphone jack, clear the Digital Playback selection in Windows Media Player in the CD Audio Options settings. To do so, follow these steps: 1. Start Windows Media Player 7.
2. Click Tools, click Options, and then click CD Audio.
3. Click to clear Use Digital Playback.

MORE INFORMATION
For additional information about the digital audio extraction process, click the article number below to view the article in the Microsoft Knowledge Base:
271647 A Description of the Digital Audio Extraction Feature"

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Any assistance is appreciated. Thanks in advance.

Not possible. The headphone jack is for listening to the CD only, and only in the case of the digital out lead not working to the sound card.

The CD-ROM drive is NOT a sound card. You cannot use it for the general sound output.