Through my new Blade Adapter (Audio Combo Adapter), my friends hear my Windows sound / ingame sound through my micro how can I turn that off?

I've bought a new laptop but this has only one jack connection for headset, but since I have separate stand microphone and headphones, I've bought a jack adapter that shares that, but now hear my friends but the ingame sound / Windows sound, without Adapter, with headset (mobile micro) but not. How can I turn this off? The adapter is an audio combo adapter from Sharkoon

If the laptop only has a jack connection then not at all. But you would need 2 separate jack connections. Say you have to live with it or take a USB Headset / Micro.

That's why I've bought the adapter, now I have 2 separate jack connectors each for headphones and micro

Right. But these still run on a jack. Such adapters work only on the phone because they have special latches.