Boot camp: Windows won't play through my external speakers

I'm using windows xp on my macbook pro, and when I plug my speakers in, there is a little bubble which pops up saying "you have plugged a device into the audio jack!" but music continues to play through the internal speakers only. Is there a setting I haven't found, or is it a hardware problem?

Thanks.

dahhhh

nevermind.

I'm such an idiot. >.< I managed to plug my speakers into the wrong socket.