GreenFloyd,
In your other post about the creative sound card settings, you stated that you can change from 2/2.1 to 4/4.1 or 5.1. This means that you should have at least three sound outputs on the rear of the card. There should be a green speaker out, an orange speaker out, and a black speaker out. There is probably also a blue line-in and a pinkish microphone-in.
In a 4.1/5.1 setup, the green would control the front R/L speakers, the black would control the rear R/L speakers, and the orange would be the center/sub channel. But you can instead just hook your computer speakers up to the green jack (as they probably already are), and hook the headphones into the black port. Then set the sound card to 4/4.1 or 5/5.1 (might as well just do 4.1) so that it sends the audio signal to both the green and black ports simultaneously. Thus, your headphones will always be connected, and so will your speakers. No Y-adapter needed, and you can listen to them both at the same time.
If this doesn't work, or if your card only has a mic-in, a line-in, and an single output, then I guess you'll need the Y-adapter. Otherwise, don't waste your money.