Every time I change the audio level via Windows 7 Professional x64's Task Bar's audio control to up or down, Windows does a ding sound, which is quite annoying.
How do you disable this?
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This is connected to the Default Beep sound in Windows. To disable it you need to set the default beep sound to None.
To do this:
Warning - You will no longer get any other sound notifications for events that use the default beep.
More specific instructions for Windows 10
This will save a new Sound Scheme (for me it was called "Windows Default (modified)". If you want to undo your changes, you can either set the sound back to what it was, or you can change the Sound Scheme back to "Windows Default".
If you want to turn off the changing volume sound running Windows 10 through Bootcamp (on a Mac machine) the accepted solution might not work for you. You can then disable the sound by right-clicking on a speaker icon (bottom right corner of the screen) -> Open Volume Mixer -> Remove volume for the Bootcamp Manager. If you don't see Bootcamp Manager there try to adjust volume with your keyboard buttons and it shall appear.
(according to apple forum)
Although you can remove this sound by removing the Default Beep, as indicated in other answers, this also affects other notifications. However, (as david-metcalfe pointed out in this comment) if you change the volume by clicking on the volume icon in the Start bar and then using the mouse wheel to scroll up and down, the beep is not produced. This may be a more practical way to avoid the sounds when on a call etc.