What sound card/drivers are you using?
If you plug phones directly into your speaker it's supposed to switch directly through the speaker into phones, Vista shouldn't notice.
What you might have a problem with, if you have 5.1 or 7.1 speakers it sounds weird going through phones, so you want to switch manually. In the start menu at the bottom type in 'sound' and then up top click on the 'sound' icon and you can change your speakers to headphones.
With my X-Fi it's supposed to notice and change automatically but it doesn't unless I plug into the X-fi front panel in my computer, it won't work if I plug into the speakers.