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Watch this tutorial and it should give you some guidance as to how to set up everything.

You will need to select your headphones in the Windows Playback devices dialog. This is in Windows, not Music Maker. Since you didn't give any of the information that you were asked when you created the thread, we don't know which operating system you are using. In W7, right-click on the speaker in the programs tray at the bottom right of your screen, Playback devices, select headphones and click ont Set Default, Ok.