Why/how doesn't my iPhone had sound?

My iPhone 4 is not making Any sounds, I've tried turning it on and off and I know it's not on vibrate, I've also checked my settings, when I don't have head phones in no sounds are made or anything, it only makes sounds when my phone rings or a alarm clock goes off. But when I have head phones in it makes the sounds, but if I tried to turn my volume up with no head phones the little dots/volume bar does not show up. (I'm on ISO 7) how do I fix my volume?
20 mins ago / Mya

Make sure the switch on the side is up so you don't see any orange.