Not with the standard widget. I don’t normally do this, but I’m going to link one of my own articles. ‘cos it does exactly what you’re asking about.
http://www.misthaven.org.uk/blog/2009/01/11/filtering-archives/
I found Moo Collapsing Archives it it did the trick, it’s a nice plugin but it lack som settings I would like to have, and might need som extra work to fit with the themes css.