When you Shift-click the standard Sound Volume icon in the menu bar, the control that pops up changes the Alert sound volume; you can check this by opening System Preferences » Sound.
[robg adds: In prior releases of OS X, the Option key was used for this trick. However, in 10.6, the Option key is used to change the audio inputs and outputs.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20090922105813276