@SignatureSigner
@geo3
I did it without buying anything. (idk how this will work for others, but for MSI owners will do).
So, connect the headphones and speakers in the jacks, then, in the search bar, look for Realtek Audio Console (you have to install it + MSI's MOBO Drivers, which I already had, if you don't, install them!) and then, MSI's audio software will pop-up instead of Realtek's.
You will have to click the settings (right up corner) and check the settings just like mine (the white arrows) and after doing this setting, you will see in the left 2 devices and now, at the sound manager in your taskbar, you'll have a 2nd Realtek Audio which is your headset (sorry it's not in English, it's in Romanian)
It might work the same for different MOBOs but you have to search for this setting.