to use the SB2 as a normal sound card (eg from media player, VLC etc) you must select it as audio out from sound control panel
in virtual DJ to have headphones working you must select COG icon, then AUDIO and slect PIONEER DDJ-SB2 as audio output, once slected you will see below MASTER & HEADPHONES, both must say PIONEER DJ DDJ_SB2 (ASIO) , also match HEADPHONES with DDJ_SB2_PHONES output, as you can swap master and headphones outputs.