How can I disable the beep when changing the volume?

"Our friends over at the How-To-Geek have a nice guide to do just this.

Open up Control Panel and find the
Sounds and Audio Devices panel, choose
the Sounds tab and then find “Default
Beep” in the list.



Change the sound drop-down on the
bottom to “None” and then click Apply.
This should disable the volume control
beep.

You’ll want to also change Critical
Stop to “None” as well, and should
probably also turn off some of the
other items.

You can also use TweakUI to get rid of
some of the beeps, but if you follow
the items on this page you shouldn’t
need that."