How do these work. Do mixer channels like Master volume level, Pcm, Output gain have the exact same effect on wav files.

Are they implemented digitally or analog wise (I have an Intel Integrated Audio Controller).

Much of your question is unclear to me. I believe you have confused 'channels' and 'controls.' The particular items you list, at least the ones that mean something to me (what is "Pcm"?) are controls. Channels are individual data paths: right channel, left channel, center channel, etc. Each of these may have controls, although anything labeled "master" might be expected to effect all (active) channels at the same time.

Different soundcards can have different controls. Output gain is a strange one, however. A circuit may have gain, meaning its input is amplified. How much gain effects the output level. Soundcards normally only have gain on microphone inputs, which effects what reaches a recording application. Outputs normally can only be attenuated from the level in the file, there is usually no gain circuit.

However is there is DSP EQ processing, I supposed there must be digital amplification applied for the frequency bands that are boosted.

These controls work in the digital domain, except for microphone input gain.

As to "Do ... have the exact same effect on wav files", the same effect as what other thing(s)?

There's really no way to tell what the best volume settings are in Windows. It differs with what audio card you have, what drivers, etc. On a Sound Blaster Live! 24-bit and integrated SoundMAX audio, I could set the "Wave" bar (might be marked "PCM") about 50% and have the main slider on 100% and avoid clipping.

To find out for sure how high you can push it you can do a simple test. Create a test tone at 180 Hz or so, full scale (Goldwave and I'm sure other apps can do this). Make sure you play it in an app using no DSPs or attenuation, and slowly push up the Wave slider until you hear clipping. Then set just below that.

But whatever you do, make sure you check "mute" under line-in and microphone. Otherwise it's just pumping noise into your system.