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Have you tried adjusting the individual volume controls for different types/inputs of sound (since your headphones MUST be working if you can hear yourself (I'm assuming you mean through when you speak through the microphone? any clarification may help. Because if you happen to mean your recorded voice, then there shouldn't be any difference between that and a "normal sound file"!?! Also may want to check the Device manager to be sure there's no obvious driver issues.
Is this something you just noticed happening even though you've been using headphones for a while now, or is this a problem with it's origin not really something you can point toward, because you've never really used headphones?
Because If you have an idea of when it started, there's error reports
, the windows update install history
and system restore points
that may prove to be useful in your problem.
Any helpful clarification?