1. I'd be highly surprised if you can plug USB speakers into the 360. I am 99.999% certain that won't work, since I doubt MS included driver support for that
2. Look at your monitor's papers. If your monitor has built-in speakers, there is probably a way to get the audio out of the built-in speakers. If your monitor does not have built-in speakers, then yes, you will need to look for an adapter that separates the audio (probably to 3.5mm) and video (either keeping it HDMI or switching it to DVI), since your current HDMI line is carrying both.
Unfortunately, most adapters I've seen do the opposite.