Click the blue apple icon in the top left of the screen

Click "System Preferences"

Click the icon marked "Sound" (a little speaker)

At the bottom of the menu is a slider called "Output Volume" which you can adjust up and down (i.e. left to right), or you can mute the whole thing (so put that sledgehammer away :-)

If you tick the "Show volume in menu bar" box, you'll get a little speaker icon which you can click on to turn the volume up (or off) via the slider, without having to go into System Preferences all the time. I usually keep mine turned all the way down, and just push it up when I want to hear something.