The OSD for volume is available for MCE 2005. If you are running anything other than MCE 2005, such as XP Professional or XP Home, you will not have the OSD. You can get one by installing one of the software packages listed above, but they won't be as good of the one that MCE 2005 includes.
It seems it has little to do with XP Pro or XP Home as the volume OSD is available on some models running these 2 OS too. The problem is even MCE 2005 in certain HP laptop still does not show the volume OSD as pointed out in another forum with a DV5000.
I'm having the same problem: after a clean installation, it's gone... and I can't find it anywhere on the driver disks... I would like to have that green osd back, but.. where to find it?
My laptop is a HP zd8320
Follow this link to another forum. Download the ehtray.rar from the link on post #15 of that forum thread. Extract the two files to \Windows\ehome, create a shortcut in the Startup menu for the ehtray.exe in the \ehome directory. You will have the volume OSD back after you restart the computer or click on the shortcut in the Startup menu. It has been tested in DV4000 and DV5000, but it may not work in DV1000T.