......I really don't think that is possible.... I've never really thought about it, it doesn't make since.
There is no way you would have enough power or speed to power a graphics card with an express34 slot.... GCs are extreme performance hogs that don't even work on a express type system, you need a 16x PCIe card...
the GPU built into macbook pros would be much better than ANYTHING you might be able to achieve with the express slot.
EDIT: i just found this: http://www.belkin.com/highspeeddock/ something to watch...but i don't think it will perform better then the graphics in the macbook pro.....
What games won't the MBP handle? It isn't the best card available, but it should be able to run all current games at reasonable settings. Nevertheless, if the 8600M can't handle it, no external graphics solution would be able to handle it either.