I discovered today that I can listen to radio i.e. Mix.Fm on my Nokia 7710 via the built-in loudspeaker. Here's what you need to do:
1. Plug in your headset - Your headset actually functions as the antenna for the FM radio
2. Go to Visual Radio and select your favourite channel i.e. 94.5 FM
3. Tap on the Menu. Goto Tools -> Speaker in use ... -> Loud speaker
Enjoy your music!