I just got xbox live today, I had to get a wireless thing and a new headset, I got onto xbox live just fine, but when ever I go to play a game, my headset won't work, I can't hear anyone talk and I don't think they can hear me

Try turning up the mic volume, though I'm guessing you'll have tried that
Look under personal settings, and check the mic settings
Otherwise, I would recommend just getting it replaced - they should be happy to do so

Thanks for the advice, but I have alread solved the proble, what I had to do was go to parental setting and enable voice chat