I remember this from my mp3 player. no idea how it works with other types of media.
add a controller listener to your player when you receive it from the Manager class.
in this controller listener define the controllerUpdate method, in which if the event is instanceof RealizeCompleteEvent (I think), you can then retrieve the visual component from the player, for displaying on your gui, which include a volume slider and buttons. check out the jmf api for the exact methods.
hope this helps