The word "volume" has several different meanings. The most common definition is the magnitude or intensity of a certain sound. Volume may also refer to how much space a three-dimensional object takes up. However, in the always ambiguous realm of computers, the word volume can also refer to a specific data storage device.
Some examples of volumes include hard disks, DVD drives, and flash memory drives, such as USB keychain drives. Your computer recognizes all these data storage devices as volumes. The only requirement is that each volume has a file system that the computer can recognize. The file system tells the computer how the folders and files are organized on the volume.
On a Macintosh, all volumes connected to the computer (either directly or by a network connection) will show up on the desktop. For example, a hard drive will have a hard drive icon and a CD will have a CD icon. In Windows, you will find a list of all available volumes when you open "My Computer." If a volume is connected, but is not showing up on the screen, you can often use a disk utility program to "mount" the volume so that the computer can communicate with it.