This is an out of the box feature of Vista which allows you to control the sound of individual applications like yahoo messenger, windows live messenger or basically any application which is open and has sound related with it.
This makes it easy for the users to control all of them from one place. You can find this by clicking the volume control icon on the tray.This is much better than Xp and moreover it doesnt affect other applicaition volmes.
A tiny feature about a two-year-old OS! I’m so impressed!