Depends on many factors, on your headphone, do you have a volume control, then, on Windows, are you sure your program's volume is well set, when you click on your speaker in the taskbar, then Mixed, is the volume okay for every program currently active, do you have a device between your headphone and your computer like a Stereo?, you can go too in the advanced option of your sound card (right-click on the same speaker).
Keep me aware