Displaying a volume level indicator is usually part of the audio card driver or its accompanying software. But all is not lost.
Matthew Malensek has created 3RXV which is a skinnable, volume control application which aims to emulate the volume display of Mac OS on Windows. Addictive Tips has a tutorial on how to get the most out of the application, but seems as if the application itself is fairly straight forward.
Addition: If you want to change the default sound for a skin, overwrite the sound.wav
file found under the skin's folder.
Hope that helps!