Headphone Problem

Hello,

I've been having trouble with my headphones ans sound in general. I
downloaded de Yahoo! Jukebox and it refused to play my songs, also when I
finally got it to play music it would freeze and leave the computer mute
untill I restarted it. However, my 'real' problem right now is the fact that
I can't get my headphones to work. When I connect them to the computer, sound
and music do come out trough the headphones however it also comes out from
the speakers. I can't seem to make the speakers go mute while the headphones
keep on working.

Could someone help me, please? Thank you.