I think you didn't understand me, Steven. The last idea requires nothing but clickable buttons for simulation of slider. It is just a row of narrow buttons (may be placed over passive line - this line is just a picture). All of the buttons are active and clickable, but only one is visible (visible is button that corresponds to current volume level). If windows 7 API doesn't allow invisible buttons to be clickable, then you may use transparent textures for providing "invisibility". Of course this "slider" can't be dragged (as we use only clickable buttons). But this "slider" can be clicked at given volume level (actually on one of the invisible buttons) to quickly set up volume.
P.S. May be invisibility of buttons is not even needed. You may simply use one texture for "current volume" button and another texture for other buttons.