I'm sorry to hear that you're experiencing this issue. I'm happy to help.
If sounds work fine on other applications, this means the issue is most likely with the Discord application itself.
Open Discord > Click User Settings (gear icon near your username) > Go to Voice & Video.
Under Output Device, change it from Default to the exact headset/speaker you are using
Close and restart Discord after selecting it
If the issue persists, go to Settings of your Windows computer > Apps > Installed apps.
Find the Discord app app and click on it.
Select Advanced options.
Scroll down and look for the Reset button.
Click Reset.
If it still the same, try uninstalling and then reinstalling Discord app.