no sound coming from headphones

Hi guys
can anyone help I have a sony vaio vgn fz18l, and cannot get any sound through my headphones. i've gone onto sounds control and when i do the test the sound comes through the headphones, but when i play any music or a movie it still comes out through the computer.
please help
milkman

Go to the Sound/ Playback window and check in the Headphones Properties in the Advanced tab whether the applications are allowed to take the exclusive control of this device. In the Exclusive Mode, mark both options.

Hope it helps. Cheers...