In most cases you will need two headsets with a compatible quick disconnection connection (QD) in order to hook up to a y-training cable.
To connect two headsets to a computer or laptop, you will need a USB headset splitter for PC (such as the Project Telecom BL-11 USB to QD Splitter which is compatible with Plantronics / Poly style QD's) - if you're using Jabra headsets, then they have two versions of their own Splitter cables - Jabra Link 265 USB/QD Training Cable and the Jabra QD Supervisor Cord
If you are using a traditional desk phone, you will typically need a headset y splitter with Quick Disconnect (QD) or RJ9 connectors compatible with your specific phone model (e.g., Avaya, Cisco, Yealink) something like the JPL Training Buddy is ideal for such cases.