The Mixer Toolbar has three controls, used to set the volume levels of your audio device and choose the input source. The leftmost slider controls the output volume, the other slider controls the recording volume, and the control on the right lets you choose the input source (such as "Microphone", "Line In", "Audio CD", etc.). Note: On Windows Vista or 7, you must use the "Recording Device" dropdown in the "Audio I/O" tab of Preferences to select input sources.
Use the Record Level Meter to check that you are setting an approriate recording level (setting the recording slider so that the loudest parts of the recording reach about -6 dB is a safe choice).
Changing these controls has no effect on the audio data in your project - in other words it doesn't matter what the output volume level is when you Export or Save a project - the end result is the same.