Click start>settings>control panel> add remove programs> add/remove windows componants> check the box that says " " and click ok. Then go into the settings of your sound (start>settings>control panel>sounds and audio devices> and click on the box that says "Place volume icon in taskbar", and you shot not get any errors any more.

1. Start > Run ... Type "msconfig" [OK]
2. Go to Startup tab and see if "Systray" is on the list of startup items and it is checked (probably, if you are having this problem, it is not).
3. If it is there but not checked, then check it, click [OK} and restart your computer.
4. It is is NOT there, then you have to add it using the Registry Editor.
a. Start > Run ... Type "regedit" [OK]
b. In the left pane, select key "My Computer\HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Run"
c. You will see a list of various string names and values that all represent something that runs on startup. Systray should be in that list and probably isn't.
d. Edit > New > String Value and overtype "New Value #1" with "SysTray"
e. With this new "Systray" selected, Edit > Modify and under "Value data" type in the following string INCLUDING the quotes and then [OK]
"C:\Windows\System32\Systray.exe"
(This assumes the default installation directory, but you may want to confirm that systray.exe indeed resides there.
f. Restart and you should start seeing the vanishing icons.

NOTES:
A. Make sure before you do all this that it isn't a case of having the volume control display disabled: Control Panel > Sounds & Audio > Volume tab > "Place volume control in taskbar" should be checked.
B. Also make sure that your taskbar properties aren't hiding the icons: Control Panel > Taskbar & Start Menu > Taskbar tab > Check "Hide Inactive Icons" (necessary to be able to select customize) > Customize
and then ensure that the missing icons are either set to "Always show" or maybe "Hide when inactive" but NOT "Always hide"
C. Now why systray.exe disappeared from the Startup list in the first place continues to remain a mystery ...

I found a fix for this by accident as I had the same thing happen on two machines (a Fujitsu laptop and a VIA-based desktop, each with totally different configurations). This particular problem is with Windows XP (possibly only SP1) and affects not only the volume icon but also the taskbar power icon and the safely remove hardware icon.

The problem seems to be Universal Plug and Play. If it's installed, these icons disappear. You can get the power and volume icons back by going to the relevant applet in control panel and unchecking/re-checking the 'show on taskbar' options as it mentions earlier in this thread - this however only works until you next reboot.

Therefore the best solution is to uninstall uPnP (unless you really need it for something). Go to Contol Panel, Add or Remove Programs. Then go to Add/Remove Windows Components. Go to Networking Services, click on Details, then un-select Universal Plug and Play. If it's already unselected, this isn't your problem so try one of the fixes mentioned earlier in the thread. Once done, reboot and your system tray icons should be back.