Connecting side speakers and sub-woofer to laptop...

If I plug the one plug into the Audio Jack, I hear only the external side speakers, not the sub-woofer.

If I plug it into the next socket, I get an window saying I've connected a sub-woofer (which I have), but when I click OK, I hear nothing.

If I plug it into the next socket, I get a window saying I've connected side speakers, but again clicking OK results in nothing.

Should I be using some kind of double adapter that will allow me to plug into both sockets at once?

Thanks.

D.