You can buy these things if you look hard enough. Here's a review: http://www.dansdata.com/usbspk.htm
If you were going to make the thing yourself, you would also have to write a driver.
Just a thought to share - (as i 'study' for my physics test) i stumbled on this page
and started thinking about the possiblity of making a USB D/A converter.
Philips has some circuit diagrams and other good stuff here http://www-us7.semiconductors.philips.com/pip/UDA1335H
So how much work would this be?
so where in there there is mention of firmware (don't think i'd be able to handle that one)...
But where do i find one ?