First things first, what is your sound card?
And is it a pci sound card or an onboard sound chip?
Make sure it is selected as Playback Device in:
Multimedia Control Panel -> Audio
As already suggested, checkmarking "show icon on taskbar"
should make the vol control icon appear by the clock.
If there's no device available (other than maybe game compatible device or modem wave), then you need to reinstall your sound drivers.
Other things to check:
Add/Remove Programs Control Panel -> Windows Setup
Multimedia -> Details
make sure "volume control" is checked.
(cd player, media player, audio & video compression should also be checked)
I doubt if Nero was to blame for this.
AT&T broadband . . . hmm
Are there any yellow blobs or question marks listed in Device Manager?
Any hardware devices using the same IRQ ?
(Device Manager -> Computer -> properties)
As for Kazaa, run
Spybot Search & Destroy
to remove all the spyware installed by Kazaa.
Use
Kazaa Lite instead.