To find the Club Penguin Headphones in the Penguin Style May '07 magazine do the following:
Step 1. Click on the Map icon in the lower left corner.
Step 2. Go to Town.
Step 3. Click on the Gift Shop
Step.4. Click on the blue magazine icon in the lower right corner.
Step 5. On the 8th page you will see a "Green Toque".
Step 6. Click on the Green Toque.
YOU'VE FOUND THE HEADPHONES!
And no, they are not ear muffs, silly.