Did you try turning the phone off and then back on to see if the volume button will adjust it?
Also, it is possible you are not adjusting it while in the right place to do so. Say when playing music it would not adjust when you don't have it playing, etc. Try going into the phone's "Settings" and then "Sounds". Go to "Volume" in there and it should have options for all different areas that you can adjust.
Now if this is for something, say a specific app, then you would have to go into that apps settings to make the adjustment.