Yes, you can. However, your code must have multiple layers to it.
First it should ask the user what they want to do(i.e whether you want to play the buzzer or light the bulb)
Your program then must redirect to another web page which turns on or off the device you have chosen.
Multiple web pages have to be created and connected.
Regarding two LED's,yes, you can. You just need to add another block of code.
a href="digitalWrite?pin=0&state=HIGH">LED ON
a href="digitalWrite?pin=0&state=LOW">LED OFF
Just modify this part, [pin=0] to[pin=1]
a href="digitalWrite?pin=1&state=HIGH">LED ON
a href="digitalWrite?pin=1&state=LOW">LED OFF
The only thing I have changed is the pin number. Both LED's will have the ground common.They have to be in different GPIO pins to interface them separately.