O Windows XP não tem esse recurso embutido (o Vista, no entanto). Você pode usar aplicativos como
IndieVolume allows every application have separate volume level, independent from other applications volume level. For example, you are listening to the music, and suddenly some application LOUDLY shouts or dings. With IndieVolume you just configure shouting application to sound at different (lower) volume compared to the volume at which player application is playing music.