How do you connect head phones to usb port or HDMI port?

You cannot connect headphones directly to HDMI, Since HDMI is a pure Digital signal it needs something to decode it such as a receiver or a TV.

USB on the other hand, you can purchase a USB sound card/ adapter, Its no bigger then a dongle used for cordless mice etc. Plug that into a usb outlet, and plug your headphone or speakers into it. A usb soundcard/adapter will cost any wheres as cheap as 12 bucks and as much as 99 or higher depending on the quality and features.