How do I control the volume of individual applications in OSX?

Bear with me here because I'm not an OSX guy, but I need some help. My sister just got a MBP and she's having some issue when skyp-ing with YouTube etc open in the background. She's been a life long Windows User so I'm learning just as much as she is.

She wants to lower the volume in Safari and increase the volume in Skype, similar to the way in which she would on WIndows. In Windows I would open the volume mixer which would allow me to adjust the volume for each application separately, but I can't find a setting like that on her laptop, or it's hidden in an obscure place. Does OSX not have this feature? Is there anything I can download to give it this functionality?

Thanks