I had a similar problem. I'm using a Win10 laptop with a single USB mic & recording multiple tracks, one at a time. I wanted to listen to the track I was recording thru headphones (plugged into the audio out jack) while recording it (i.e. playing the instrument being recorded). I had to install an ASIO driver. ASIO4ALL did the trick. It's free. I had some trouble getting the headphones to work. I think it was due to another program that automatically launched when I plugged in the headphones, wanting to control the audio out. As long as I exit this interfering program without making any selections, the ASIO driver seemed to work fine in controlling both the USB mic input & the analog audio output, allowing me to hear what I was recording through the headphones. In my research, I discovered that many avoid this problem by purchasing an audio interface, which typically come with their own ASIO driver, if not their own recording/mixing sw.