i have a Sony laptop and when i plug in headphones you can hear it but you can also hear it thru the speakers. They play at the same time. Do you know how to turn that off so you can hear one at a time?
Check your audio manager. It could be that your speakers and headphone (given that they are on different jack) are configured to work as 2.1 or 5.1 or even 7.1 which means it would output sounds an all devices