How do I download a sound device for my computer?

I have a laptop and bought these new portable speakers that only require a USB. When i plugged them in, they did the normal automatic software download. However, when i opened up windows media player, the music was playing out of my normal pc speaker. I went to sound properties on my computer and clicked on "playback" which gave me a list of my sound devices. One was my pc speaker, another was the headphone jack, and the third was my new hp speakers. I clicked on the hp speakers and the other two sound devices disappeared. Now, the speakers work, but anytime I want to use headphones, I can't. I did locate the sound devices on my computer. It tells me they are active, however I can't figure how to use them. Or how to switch back and forth from the speakers to headphones. Please help!