Afraid not. You'll need to buy external speakers with their own volume control knob.
I'm trying to get my laptop speakers to play at the same time as an external speaker.
I've managed it with a trick in the Realtek audio manager, whereby until you answer what kind of line you just plugged in, it doesn't mute the internal speakers. So I just don't answer and leave the popup box sitting there.
Problem now is that the external speaker, which has no volume control, is much louder than the internals.
Is there a way to affect speaker volume independently of the line out / headphone volume?
I'm using windows XP and Itunes.