What you need has nothing to do with skinning.
For your example one needs a transparent form and a color code for the bars the rest is reading and setting the volume information.
If you're looking for such app, install MouseWheelInput and double click the mouse wheel.
If you're looking for the audio stuff code, have a look here: http://www.codeproject.com/useritems/AudioLib.asp
If you're looking for the code to paint such a bar, here it is:
private void Form1_Paint(object sender, PaintEventArgs e)
SolidBrush brush = new SolidBrush( this.ForeColor );
Pen pen = new Pen(brush, 2f);
int width = this.Width / 20;
for(int i=0; i< 20; i++)
if( volume >= i)
e.Graphics.FillRectangle(brush, 1+i * width, 1, width - 3, this.Height - 2);
e.Graphics.DrawRectangle(pen, 1 + i * width, 1, width - 3, this.Height - 2);