First, connect both the HDMI cable and audio cable.
Once connected, right left click on your speaker icon in the system tray near the time.
Select Playback devices from the menu
You should see at least two audio devices on the Playback tab. One of which will be Speakers/Headphones. Click on that one and then click Set Default at the bottom.
This will force the audio out the headphone jack instead of the HDMI cable.
Once done, if you reconnect your laptop to an HDMI source that does support audio, you may have to come back in to these settings and select the HDMI source as the default.
Click the ^ in the upper right to expand the menu.
Select Speakers / Headphones and the audio will now go out the audio jack.