Which operating system?
If you're running Windows and your PC has an HDAudio solution, then the speakers and headphones may appear as two separate output devices (it depends - for instance, on my laptop the headphones and speakers appear as the same output device and there's an electrical switch that switches between the two when the headphones are plugged in).
If the headphones and speakers appear as separate audio devices, then hopefully your media player has configuration options that allow you to select the output device it uses.
If you're running an AC'97 audio solution (and I suspect you are because your audio solution appears to support hardware loopback), you are likely to be out of luck - it all depends on how the manufacturer of your audio solution wired it up.
If you're running Windows 7, if you launch the audio Playback controls control panel (mmsys.cpl), select "Properties" for the device the where the MP3 player is plugged in and navigate to the "Listen" tab, you can ask Windows to play the contents of any input onto any output device.