I can't play sound through my headphones without it coming out of laptop speakers?

I have windows XP on my laptop and recently when I am trying to listen to music etc. the sound will keep coming out of the speakers in my laptop. If I plug in my headphones then it will continue going through the speaker. It has nothing to do with earphones, i have tried many different types. This has never happened before on my laptop and it is getting rather annoying and becoming a hindrance. Thanks.