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There is no need to reboot. Just make sure the sounddrivers get loaded (on SuSE distribution, the sound drivers will be automaticaly (re-)loaded after reconfiguration of the soundcard or on boot). After loading drivers (implicitely or explicitely, if required by your distribution), you just nedd to quit KMix (Ctrl-Q) and start it again via K-Menu.

I presume, you mean the additional Session that you get via "Switch User -> Start New Session". I don't see this behaviour here. If I start a new session, I also get KMix - depending on the last saved state - on the screen and / or as DockIcon. The PanelApplet also works in multiple sessions. Probably this is a Mandrake specific issue.