I have AKG headphones with a USB or dual prong jack that I want to use with my MacBook Air. I can plug them into the USB port but how can I get the sound to come through the headphones instead of the laptop speaker?
It sounds like you don't have your sound input configured correctly. Have you tried going into System Preference > Sound and changing the Output device?
Another (easier) option is to Option ⌥ -click the sound menulet in the menubar, which will bring up an Input/Output device selection menu (10.6 and later).
Hold down the Option (alt) key and press the volume icon on the menu bar. Then, under output device, find the headphones that you are plugging in and select them instead of the Air's speakers. For reference, the integrated speakers are usually the first option.