The output monitors should be selected (channels 3 & 4) for you headphone output to work. Also there are 2 knobs on the front right hand side, one for headphone volume and one for cue/mix. The knob on the left is cue/mix. If it is turned all the way to the right, you will only hear the main out, all the way left you will only hear a deck that has the cue button on.
Just to make sure, you are plugging the headphones into the S4 not your computer. In the thread you referenced, they were trying to use the computer headphone out.