Just saw this today and oh man, welcome to the PC world!! I remember my first setup, I was so nervous about getting gaming gear that would just break or fail on me after a week. I actually ended up going with more reliable gear because those things are built like tanks and the sound is just amazing for horror... literally jumped out of my chair playing Resident Evil last night. Here is what I found works best for a reliable, safe setup:

• Sony WH-1000XM4 Noise Canceling Wireless Over-Ear Headphones are fantastic if you want that deep immersion. The noise canceling is top tier and they feel so premium.
• Sony MDR-7506 Professional Large Diaphragm Headphones if you want something bulletproof. They are wired, so no battery or connection worries ever. Tbh I still prefer the wired ones when I am worried about lag or random disconnects. Nothings worse than your audio cutting out right during a jump scare!

You should definitely check out the Sony INZONE H5 Wireless Gaming Headset because it is absolutely amazing for your budget! For a methodical setup, first plug in the USB transceiver for zero-latency audio. Second, you must install the INZONE Hub software to activate the spatial sound profiles. It makes those scary games feel so realistic and creepy, you wont believe how immersive it gets for the price!

Ive been using the Sony INZONE H9 Wireless Noise Canceling Gaming Headset for months now and im very satisfied with how they handle PC audio. The 360 spatial sound works well for horror games because it lets you track sounds accurately. No complaints about the noise canceling either. Its a solid pick for under $250 if you want that high level of immersion.