Your headphone probably has a mic on it which you plugged into the microphone jack.
If you are not using your headphone mic, unplug the microphone jack and windows should see it as an ordinary playback device and mute the speakers.
These articles may also help you:
http://en.kioskea.net/forum/affich-172302-sound-coming-from-both-speakers-and-headphone
http://h30434.www3.hp.com/t5/Notebook-PC-Sound-and-Audio/Headphones-plugged-in-but-speakers-are-still-playing-sound/td-p/728983