What follows presumes that (1) your PC shipped with a Bluetooth adapter; or (2) you installed a Bluetooth dongle. If your PC shipped with a Bluetooth adapter, the driver for that Bluetooth adapter was installed by the PC manufacturer at their factory. If you installed a Bluetooth dongle, what follows below presumes that you installed the driver for the dongle. (If you installed the driver, an entry for the dongle will appear in Device Manager.)
Bluetooth is actually a network, but unlike all other networks, a Bluetooth network connects only two devices. In this case, the two devices are the Bluetooth adapter or dongle in your computer, and your headphones.
Using a Bluetooth device is a two-step process. First, your computer and your headphones need to setup a Bluetooth network between them. This is called pairing. Once your PC and your headphones have a established the Bluetooth network - once they have paired - the settings for that network are stored in each device, i.e., your PC and your headphones, so that they only have to pair once.
Once your PC and your headphones have paired, the next step is to connect your headphones to your PC. So, pairing stores the information needed to connect, and connecting lets you hear the music. One more detail and then you're ready.
You don't have to worry about the technicalities of pairing - Bluetooth takes care of that. To pair, all you have to do is to put each device into discovery mode (aka pairing mode). To put your Windows 11 PC in discovery mode, go to Settings > Bluetooth and devices > Bluetooth > On
There's no standard method for putting headphones into discovery mode. You have to check the instructions that shipped with your headphones. For my headphones, I have to hold down a special button on one of the earcups. It could be different for your headphones. Once your headphones and your PC have paired, they will remain paired forever. Now, all you have to do to hear the music is to connect.
The way you connect also depends on the headphones. Different headphones connect differently. In my case, all I have to do is go to Settings > Bluetooth and devices > Connect.
Here are two 'gotchas' that can mess things up:
1- Any given Bluetooth device can pair with up to 7 other Bluetooth devices, but no more than that. If either your PC or your headphones are already paired with 7 devices, they won't be able to pair with each other.
2- The vast majority of Bluetooth devices can only connect to one other Bluetooth device at a time. If your PC or your headphones are already connected to another device, they won't be able to connect with each other.