It doesn't look like you have the DDJ-400 selected as your audio device, so that's no surprise the audio isn't being output to the headphones connected to the DDJ-400.
There are no drivers required for the DDJ-400.
Check and make sure that Windows doesn't have the DDJ selected as the computer's default audio output device.
I have a windows laptop and I can't find the DDJ-400 in my audio output setting. I've tried a lot but I can't find it. What do I have to do? I heard something about drivers but which driver then and how/where can I find this?