Thats the ONLY good thing about Windows Vista. You can choose the volume for each individual application. (copied Mac OS again )
Im sure a quick Google search will supply you with a lil application which will allow you to do the same thing with XP. (or any other version of Windows).
EDITED TO ADD: After a quich search (literally 30secs) I couldnt find anything which will change the volume control 'per-application' in anything other than Vista (apart from Linux and OSX).
It is possible as there is an application called IndiVolume (http://www.indievolume.com/) which will do it, but it costs $24.95.
Im sure I can find something which is free to do the same job. Incidently, if anyone else frinds something suitable, please post a link as it is a great feature which I would like to have on XP.