Need help with connecting my headphones to my TV.

I've seen this before and some TVs don't allow you to control the output volume. When you are setting it to audio system, the volume control is effectively considered to be relegated to whatever audio equipment is connected, and the TV's volume control does nothing as its speakers aren't producing any sound, and that is what it is used for.

If this is the case, you either have to get some kind of amplifier to be able to control the volume in your headphones (you get the sound by connecting your headphones through the amplifiers headphone jack), or you need to get a pair of headphones which have an integrated amplifier (wireless headphones usually do).

Seeing as you don't want to spend a fortune on this, I'd say your best bet would be to look in your local pawn shops or on ebay for an actual sound system amplifier on the cheap. I've seen some go for as cheap as 20$.

Jam it back in, in the dark.