I Can't Control The Volume On My Headphones

I have a Sanyo DP32242 32" and I bought the Digital to Analog Audio Converter, cheap headphones, and an RCA Coaxial cable (pics below).

I have everything hooked up right I am certain, as I can turn down the TV and hear in my headphones. But I cannot control the volume in the headphones and it is way too loud.

I want to purchase bluetooth speaker(s) because I do not want to wear anything in or on my ears. But unless I can understand what this volume control issue is, then I don't want to purchase anything else (more expensive) yet.

I did read of a situation where the external device (headphones etc) had a volume control, but it still didn't turn down the volume.

My question is, have I got all I need to make this work, and does anyone here have the same or similar issue, and solved it?

Can anyone help me with this issue? I cannot hear my movies, since the dialogue is always so low, but if I turn that up, then other sounds are too loud. My hearing is not great, but on the other hand, certain programs I hear just fine at a reasonable volume.

 

No, just my laptop on a desk about 3 feet away.