To the best of my knowledge there is no way to do that with a USB headset.
With a good sound card, you can buy a splitter, plug it into the sound out port, and have sound going to both speakers and headset. Which btw is exactly what I do. Bought one good splitter 5 years ago and it still works fine.
However in the case of a USB headset, there is no way to take the output going to the headset and send it to the speakers that I'm aware of.
Also FYI generally speaking a good sound card will require less CPU cycles and give you better performance for AH (And generally better sound) than a USB headset. Even a cheap SB live should give you better FPS and better sound, with more options.
All of the above to the best of my knowledge and in my honest opinion.