Open ProTools but when the splash screen opens don't create a new session choose cancel | 
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Don't create a new session here you need to choose Cancel and setup the playback engine first!!
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After hitting Cancel go to >Setup>Playback Engine | 
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Playback Engine
Choose Built-in Output | 
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Next go to >File Create New | 
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Choose a Name for your session
Choose the file type as .wav
Bit Depth 24
Sample Rate 48
I/O settings Stereo Mix
Choose where to save the session
Click Create!
After this should hear audio out the headphone Jack | 
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