Main menu:
If you find you have no speaker icon, you can get it back. To restore your speaker icon, choose Start|Settings|Control Panel. Double-click the Multimedia icon. In the Audio tab, put a check mark next to Show volume control on the taskbar.
Once the Speaker icon is on your Task bar, you'll find that you can access this Audio tab directly. Right click the Speaker icon and choose Adjust Audio Properties. At the bottom of the Audio Properties window, there's that check-box again. Not surprisingly if you remove the check-mark the icon disappears from System Tray.