Open the Control Panel, Multimedia, and on the Audio tab of the resulting dialog box, select Show Volume Control on the Taskbar, click OK, and that little yellow speaker will appear in the system tray. To remove it, simply uncheck this option. Alternately, to remove the speaker from the system tray, right-click it, select Adjust Audio Properties, and deselect the Show volume control on the taskbar option.

Note: The option of using the speaker icon depends on you're having a 16-bit (stereo) sound card. You can't the icon in the system tray with an old 8-bit (mono) card.