Is it just volume that bothers you?
A headphone amp might do the trick. Maybe a FiiO e5?
How to set up the headphones depends on how you want to use them. For gaming, you'll generally want the following audio control panel settings:
Game mode, speakers set to headphones, enable EAX, Enable CMSS-3D and set MacroFX and Elevation Filter to auto.
Then go through Windows Control Panel, Hardware and Sound, Sound, Select your Speakers and Configure. If you're using a game with hardware sound (DirectSound3D or OpenAL) set speakers as Quadrophonic or some stuff won't work properly. If your game has a software sound engine you can set it to 5.1 or 7.1.
Go back to Audio Control Panel and check that Speakers are still set to headphones (if not you may need to check a box saying something like 'optimise for headphones' or desynchronise from Windows' or even install the X-Fi Console)
If your game has audio settings set it to match Windows (some just do it automatically).
And you're away - simulated surround sound over your head set with a few added features (such as elevation effects) that you couldn't get with 5.1.
For legacy games (XP days) you may also need to run alchemy to allow them to use hardware features.
Have fun.