You have at least two volume controls to consider - the Windows "master" control and your application's (media player or whatever) volume control.
Most applications don't mess with the master volume control but some (in particular, RealPlayer) do. When you turn the volume up and down in RealPlayer you are really turning your master volume control up and down. If you exit RP while the volume is turned down you can expect the master volume to be low.
Access your Windows volume control. Hopefully you told Windows to put a volume control icon in the system tray but if not you're going to have to Control Panel/Sounds and Audio Devices (in XP) until you click on enough things to get the Volume Control box to come up - it looks something like
this. (Note that's a W95 picture but the 98 & XP box is similar.)
Your volume control may have a few different things on it depending on your sound card but the important settings are "Volume Control" and "Wave". Push them up around 90% or more.