Maybe it isn't a good one,check if you connected the cables correctly,plug it out and plug it in again,close the playstation and open it again.That's the only reasons I can think of.

What type of headset is it?

Is the headset made for the PS3 or is it just a normal headset? Because headsets don't work across consoles.

Try searching for the headset on youtube!
Always helped me when i had problems with headsets!