USB audio systems such as speakers normally comply with the USB audio class specification. If your audio device does not comply with the specification, it will not work with Linux at this time.
You need to turn on the Sound card support kernel option, which is in the Sound section. You will then be able to turn on the USB Audio support option in the normal USB section.
If you elected to use modules, you need to load the module called audio.o.
You can test your installation by dumping some random data out to the audio interface, using a command like cat /bin/bash > /dev/dsp. USB audio is integrated into the normal Linux sound architecture, and most tools should work fine with USB speakers. See the Sound HOWTO for more details and suggestions.