That's caused by the fact that a (left) double-click is interpreted as "Mouse Left + Wheel down".
Now, please have a look under "Options"/"Preferences"/"Key definitions and WinLIRC" under "Volume Down" (in Windowed mode). You will see that "Mouse Left+Wheel down" is the default definition of one of the 2 keys you can assign to Volume Down in Windowed mode. (For full screen mode you can also assign two different key/mousebutton single presses or combinatitions.
If you redefine, you will notice volume will no longer be effected.