When we wear headphones that block out most external noise, how can we still determine which direction external sounds come from?

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So I’m wearing really great, over the ear noise canceling headphones. The world around me is barely audible. My music is loud enough. How can I still know that sounds are coming from behind me, to the left or right, etc? I thought the actual sound waves would be all kinds of messed up having to get through the headphones and bounce around the space between them and my ears.

In: Biology