Strange. It's a program called sndvol32.exe (see http://support.microsoft.com/default.aspx?scid=kb;EN-US;Q319095). Use ctrl-alt-del to see if it is running while you see the icon, and to check what happened to the program if the icon disappears. That should be a first step towards (maybe) finding the cause. Maybe simple re-extract it from the cd if it is somehow damaged (although I don't expect this will help, frankly speaking).
Hope this helps.
WinXP Pro, PentIV- 512ram;
check mark is checked at - place volume icon on taskbar, but icon does not remain. Going back and removing check mark, then entering check mark again puts the icon on taskbar, but it does not remain after short computer useage.
No viruses, spyware, parasites, invalid registry entries. All XP updates and McAfee updates are