Just got a new monitor and it obviously doesn't have speakers, bought the VGA cable and Mass Effect looks immense 
I don't really know what the connections are, the headphones have one of those funny jacks with 9 pins in, with a 3.5mm adapter connected to the pc, the VGA lead has the red and white wires, with a small adapter to turn them into one connection.
The head phones have a small amp box with a cable that has 6 red and white connectors and a red, green blue output (and another set of wires with the opposite)
Sorry if this isn't very clear but I'm a complete numpty when it comes to sound.

I don't really know what the connections are, the headphones have one of those funny jacks with 9 pins in, with a 3.5mm adapter connected to the pc, the VGA lead has the red and white wires, with a small adapter to turn them into one connection.
The head phones have a small amp box with a cable that has 6 red and white connectors and a red, green blue output (and another set of wires with the opposite)
Sorry if this isn't very clear but I'm a complete numpty when it comes to sound.