You can also use a little bit of talc, I put some in my hand and rubbed it on the belts (engine OFF!) to find out which belt it was. Turned out the PS belt on my FTO was squealing - Once you know which belt is doing it, adjust it to the correct tension as Herman said.
Is the aircon and alternator on the same belt? Would explain why it squeals when you have the heater on or headlights I guess.
Oops, Mark already said it, too slow! Lol