Hi Cathy.. it sounds like you might be connected to the wrong jacks instead of the output that the headphones need.
Most high quality stereo headphones have a single 1/4" stereo plug that would readily plug into a 1/4" jack on the front of the stereo labeled "PHONES" or HEADPHONES".
Many lower quality "computer headphones" or headsets have two 1/8" plugs. One is often black or red and is for an included microphone that may be a boom type (shown below) connected to one of the speakers or an "in-line" type built into the cord itself. The headphone speakers in the headset get their signal from the other plug - which is usually green; but could be any color really. There should be 3 metal parts on the stereo headphone plug. The tip, the middle ring and the bottom ring. Many times the mic is mono (not stereo) and only has only a tip and a bottom ring on the plug. You can see stereo headphone and microphone plugs he picture below:
Computer Headphones or "Headset" with mic and phone plugs.
Your Yamaha stereo will probably NOT have 1/8" jacks to directly plug the headphone into. You can buy an adapter that you would plug your headphones into and then plug the adapter into the 1/4" jack on the stereo. One is pictured below:
Front and rear views of a "1/4" to 1/8" Stereo Adapter Plug" The front plugs into the stereo and the the smaller 1/8" headphones plug into the rear.
I hope this helps & good luck!