What is it called?

Maybe what you're looking for is an attenuator. Not necessarily cheap but very transparent if you don't mind getting out of your chair to adjust volume.

Check this out:

http://www.tweakaudio.com/EVS-2/Ultimate_Attenuators.html

You are looking for a passive volume control. Try the forums. You could read for days on this topic. Don't waste your time at Radio Shack.

Rat Shack actually has a nice volume pot, you will have to buy a little plastic box and some input and output jacks as well as some wire. If you are handy, you can build yourself a nice little one input passive preamp in less than an afternoon. I built one for a friend and he preferred it to his $1800.00 preamp. When you get a bit more scratch, you can replace the pot with a stepped attenuator for even greater transparency, upgrade the wire, jacks, etc.