Volume icon not remaining in the system tray

Archived from groups: microsoft.public.windowsxp.configuration_manage (More info?)

For some reason, the volume icon will not retain its position on the
taskbar, even though the appropriate box is checked in the audio/sound
folder from the control panel. When the computer reboots the icon is
usually lost as is the checkmark in the box. Have to then go back and
recheck it again.

How do I correct this to retain that option for controling the sound level
from the icon instead of opening up the software program each time?