This should be easy but isn't.

My bluetooth microphone transmits to a little USB thing that plugs into a computer.

That way I can get sound to the computer.  My bluetooth headphones have to be paired with a stereo, then they will connect automatically.

So is there really a mic that will pair and connect with headphones?

I looked but wasn't sure.  It would be great if you would include a link to a mic that will work, thanks.

First off,what is the EXACT Make & Model of the microphone & headphones you want to transmit to?
 It sounds like your microphone has a built in TRANSMITTER that sends the signal to a Bluetooth RECEIVER(USB dongle).
 The Bluetooth headphones need to be paired to a stereo SO they must also contain a BT RECEIVER,with the stereo acting as the TRANSMITTER.
 Let me look at information on the mic & headphones & I'll get back to you..

Thank you very much freediver, I think you're right that my mic is a bluetooth transmitter and the dongle makes the computer a receiver.  

What I was hoping to do is go from mic straight to headphones with nothing in the middle.  It's been hinted by others that that isn't possible, but I had to ask.  I will be happy to buy any mic and headphones that will work.  If there is no way, no how that any mic - headphone combo will work, then maybe I'll start asking what more I need.

That is incorrect UNLESS the Microphone/Transmitter does NOT accept multiple device connections.Check the specs for the microphone thoroughly under "pairing"..This will tell you if you can pair multiple devices.