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How to use a wired headset with the Teams App:
Plug your wired headset into the computer.
Open Teams then go into Settings > Devices.
Under "Audio Settings" make sure the speaker and microphone are showing the headset.

You can test it by clicking "Make a test call".
How to connect a wireless/bluetooth headset with the Teams App:
Open Windows Settings:
Go to "Bluetooth & devices" & click "Add device" > "Bluetooth"
Ensure your wireless device is in pairing mode and it will show up.
Click on your device to pair it now follow the same instructions as above when connected a wired headset.
If your wireless headset has a USB adapter simply plug it into the computer and follow the same instructions as a wired headset.