Have you tried plugging the mic into the pink-colored jack? If not, that's the one you should be plugging it into.
If you are plugging it into the pink-colored jack (or whatever color your mic jack is), then try going to Start, then Programs, then Accessories, then Entertainment, then Volume Control. In the Volume Control, click Options (in the upper left) then Properties. Scroll down the list (make sure that the box next to Playback is checked) and check the box next to Microphone. Click OK then make sure the volume slider under Microphone is turned up at least halfway. This may help, although I'm not sure how...maybe the mic is interfering with the headphones, and turning up the mic volume will turn on/up the headphone volume.
-JustinPS