What are the specifications of your system? Provide make and model etc.
If the system has an integrated audio chip on the motherboard, did you install the audio chip manufacturer's Windows XP driver?
If the driver for the Sound Controller is not installed or installed incorrectly the Volume control isn't going to show up.
Look in Device Manager for any yellow triangles with an exclamation mark in them that appear beside devices that have a problem being recognized. Report what you've found back here in this forum thread.