winamp has options to change it either way.
There are many options, but that's the default (of 2.x, anyway), and not all apps have plugins to change such things.
what specific sounds are u talking about anyway?.. the normal windows sounds seem pretty quiet to me compared to the music.. are u sure u have the volume on WMP (or morpheus or whatever) at full?
That's because that music is poorly mastered. You should probably try reading up a bit on the basics of digital audio (mainly using PCM).
The important point, though, is this: 0dBFS is the maximum
. You don't go louder. If you want good sound, you need range, and that means going lower
. That's why movies, especially action movies, will be exceptionally soft on average, because they need more room for the crashes and bangs.
Try opening up something in a sound editor that you consider louder than those shell and app sounds, then load and look at something well-made, like pretty much any Pink Floyd (also because everyone's got to have some Floyd, right?).