What type of headphones - is it a microphone/headphone combo headset, or
just your run of the mill Headphones that you'd wear with a
Walkman/Ipod/whatever, or a set that you'd listen to your Hi-Fi with (the
bigger, cover-the-ears type?
If you can hear the test sounds that's fine.....OK now you need to see the
volume control; is there a separate control for Headphones (as opposed to
speakers)? (this would depend on your sound card & drivers, I expect)
Another check is to see if there's a separate volume control for "WAV"
sounds, and/or a master control for volume and also one for "Line In/Out"
and for MIDI files. The standard Windows volume control has basic controls
for these. Depending on your sound hardware, you might also have a
configuration utility specific to that, which you may need to adjust as
well.
For this video you're trying to watch, can you hear the sound on normal
speakers? If not, maybe the video doesn't have a sound track.
Also, depending on the video player you're using (probably the Flash/Video
plug in if it's on You-Tube) there's a volume control on that plugin as well
that may need adjusting.
Does your PC have a front headphone and rear headphone port? Maybe one is
disabled (I think that would be done through the config utility for your
particular sound card).
If you've tried all the above, I don't know what else to suggest. Maybe
delete the device in Device Manager, restart the machine and let Windows
re-detect the sound card/on-board sound and reload the drivers.