Problem with SONY Bravia BX4 40 TV and sound and headphones. Please help!?

I bought my TV today and noticed on the side of the TV it have a headphone jack, it has AUDIO IN written under it. When I connect my headphones the sound still comes from the TV. I even went into OPTIONS and tried everything I could possibly think of, but the sound stills comes from the TV.

How do I enable sound through my headphones?
 
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