For SoundEffects check out SoundEffect.MasterVolume:
Each SoundEffectInstance has its own Volume property that is independent to SoundEffect.MasterVolume. During playback SoundEffectInstance.Volume is multiplied by SoundEffect.MasterVolume.
It also affects sound effect instances that are playing.
I’m not sure about songs. I think it would be possible using XACT. With the Song API it’s not possible to play multiple songs at once. (the difference between Song and SoundEffect is that SoundEffects are loaded into memory, while Songs are streamed from disk, so you could load your game music as SoundEffects if they’re not too large).