Inside the Control Panel list, click on "Sounds and Multimedia". A window pops up with options...below the slider-bar for "Sound Volume," there's a little check-box that says "Show volume control on the task bar."
Click in the little white box to the left of the words, so that a black check-mark appears...click "Apply" at the bottom of the window, then click "OK".
You don't need to go into the control panel at all with Vista (no idea about other operating systems). My previous answer is the quickest and easiest way to do it...make sure you are in the 'notifications' tab in the properties box and just make sure there is a tick in the volume bit and click 'apply' before exiting.