Is the cable used when the headphones are connected to your monitor a USB3 lead, or an audio lead with 3.5mm stereo jack plugs at each end?
Dive into Windows Control Panel, select Sounds, click the Playback tab and scroll up/down the list of playback devices to see which device you're using to playback audio.
My current audio playback device is shown as Dell UP3017, i.e. my Dell monitor, connected to my PC with USB (for audio on the monitor's speakers) and HDMI (for video).
Audio from my PC is sent to the monitor as digital data via USB, where it is converted into audio by a DAC codec in the monitor and fed to an amplifier driving the speakers.
To get my headphones working when plugged into the computer, I'd have to change the Playback device under Sounds to Headphones.
Make sure Windows is set to use the appropriate output.