You can..but you might want to keep the volume down on the guitar amp because it's not meant to reproduce low frequencies that the guitar doesn't normally produce.

A better idea would be to use a stereo system and just play along with it.

Alternatively, you could do what I usually do which is use a small mixer with 4 channels on it. (Something like a Behringer 4 channel mixer). You plug the stereo left and right channels from the computer into tracks 1 & 2, then either mic up your amp and plug it into track 3 or go straight out from a multieffects unit in stereo on channels 3 & 4.
Doing it that way (especially using headphones) allows you to clearly hear the music and blend the guitar right into the song.

Another method is to use recording software to play the music. Just drag and drop an MP3 onto something like Cubase, plug in your guitar and set it so you're monitoring one of the other channels. As long as you have a decently fast computer or a way of getting a direct sound throughput, you won't have problems with latency (caused when the computer doesn't compute fast enough and the guitar lags behind the music.
Check the latency on your sound card and as long as it's around 5 and below you should be ok.