I believe the settings are accessed with F10, the volume control is under the Graphics and Sounds tab on the right hand side.
If this isn't enough, you can also try changing the volume for NF using the windows mixer. Just right click the volume icon in the system tray (the row of icons in the bottom right of the task bar, next to the time) and select Open Volume Mixer. From there you can set the volume for all of your open programs individually.