Can record with XLR headset, but can't hear

I am using a Shure SM10A XLR headset with a Focusrite Scarlett 2i4 interface. I can record just fine with the headset, and if I use regular headphones in the headphone jack, I can hear everything using the line out, so the setup seems to be working fine, but I can’t get the sound to route through the headset headphones. I haven’t had any success finding anyone with the same problem, either. Any help would be greatly appreciated.

You’re going to have to tell us about your system. See pink band above.

I’m sorry for the omission. I’m running Windows 7.

Plug your headphones into the Focusrite Scarlett 2i4 interface.
Set the playback device in the device toolbar to the Focusrite Scarlett 2i4 interface.