This is really a question for Apple but I believe you have to have special "Air Play" speakers. http://www.apple.com/itunes/airplay/

Air Play is a feature of Itunes only right now. there are some third party applications which may work but they have limited success rates.

Find the software! (For 25 dollars) is Airfoil works great!

I also use Airfoil. It "Foils" any of several audio sources ("System Audio" is one) to redirect the source's audio, instead of to your Mac's speakers or audio port, via Apple's AirTunes to your Airport Express. This is what iTunes does internally; Airfoil applies the same technology to any source.

It is fabulous with one caveat. AirTunes has an inherent delay of several hundred milliseconds. This can create problems in two situations:

1. If you can somehow hear directly-connected audio and AirTunes-facilitated audio at the same time, everything will echo and speech will be unintelligible. You will hate it.
2. If you are watching a video while sending its sound through AirTunes, lip sync will be off by several frames. You will hate it.

A tentative solution to #2 is to use VLC and fiddle with its internal video delay settings. It's a bit tricky.

--Gil