Having previously experienced Vista, which you quite rightly dumped in favour of XP, you have nonetheless unfortunately perhaps, had the chance to use the one aspect of Vista that I like - the capability to adjust ONE application's volume levels relative to everything else.
This capability, strictly speaking, does not exist within XP.
You can however work around it.
I advise that you familiarise yourself with 'Audacity' which you can download from this link:
http://audacity.sourceforge.net/
Have a fiddle around with it, applying it's effects to some sound source of no importance, say a copy of an MP3 or whatever. Once you have figured out how it works you can use it for your Windows XP "noises".
Audacity can amplify & attenuate sound, ie make it louder or quieter depending on your preference.
Create a directory and copy ALL your Windows XP "noises" into it. The "noises" can be found at [u]C:\Windows\Media[/u] - copy them all into your new directory.
You can now load each into Audacity, alter as appropriate then save out again. You can either swap the entire bank of sounds around OR redirect the sound module to the new sounds directory.
This will give you louder or softer sounds while not affecting other sounds within Windows applications such as Video or Games.
Unfortunately Vista has the nifty trick of being able to do this on the fly, but having seen all the detritus it comes with, I prefer to have a fiddle with the odd sound level now and again. I've always enjoyed fiddling anyway! ;)