Please check the following:
Make sure your plugs are connected into the correct ports in the back of your computer.
You might need to disconnect your external speakers in order to insert the headset speakers.
Your speaker port could be labelled "line out".
Make sure none of your volume controls are muted.
To check this Windows volume control panel (START / PROGRAMS / ACCESSORIES / MULTI MEDIA or ENTERTAINMENT then VOLUME CONTROL) or simply double click the yellow speaker in your systems tray.
Check your Volume control and your Wave control for appropriate volume level. These levels effect what you hear.
In order to make sure your microphone port is activated, look for a microphone volume control and make sure that it is not muted and that volume is at an appropriate level.
If you do not have a microphone volume control then go to Options and then Properties.
Under the Properties window look for Microphone and place a check in the box next to it. Click OK and then in your Volume control window Microphone should appear.
Make sure it is Selected (not muted) if you are using Windows ME.