Hi, good day!
To help narrow down the cause
Does the headset work on another device, and have you tried another headset on this PC?
Is the headset connected through a USB port or the 3.5 mm audio/headphone jack?
What is the make and model of your computer?
Press Start then search System Information
Please take a screenshot of the resulting window and post it in your next response.
Open Settings > System > Sound > Output and see if the headset appears when you plug it in. If it does, select it as the output device.
I look forward to receiving your update and I'm willing to collaborate with you till we resolve the issue. Do keep me informed by clicking "Add comment" below.