No headphones output

I have a brand new macbook pro, which I intend to record music on. Unfortunately, I cannot get my headphones working.

When I enter system preferences - sound - output, I can only choose the built-in internal speakers. I was told that this option would change to headphones, When I plug them in, but it never happens. I have tried several headphones, so the problem must be within the macbook.

I am desperate, so any, really ANY, suggestions to what might be wrong is extremely welcome.

Sounds broken to me. Take it back to Apple or the retailer you got it from.