It's the only feature XP offers & require you to open another window firdt.
Your better off buying a new "Windows" keyboard with volume controls.
But read this first
My keyboard doesn't have keys for changing system sound volume, but I often need to change it (when switching b/w speakers and headphones, for example). Using the Volume Control icon is very annoying and much slower than using keyboard shortcuts.
Is there any way to get Windows to use some of the Function keys (F1-F12) combined with some combination of mask keys (Ctrl, Alt, Shift, WinKey), to control volume?