Orange FM is a cartridge for Game Boy that allows you to listen to FM radio stations through your Game Boy’s speakers (on certain models, see compatibility chart below). It features an internal antenna for strong signals, as well as support for external antennas connected to the cart’s audio jack. In addition to mono audio output through the console, the cart delivers stereo audio through the cart’s audio jack to connected headphones or speakers.
Then you should plug the headphones in the standard connector, not in the cartridge. You can set the volume from the native volume wheel of the console.