Tap Record a new greeting. Note: If necessary, delete an existing greeting (limit of 2 greetings) to make room for the new greeting: Tap the Menu key, tap Delete greetings, tap the check box next to the desired greeting, and then tap Delete.
For those who prefer not to use the Phone app, you can set up voicemail by selecting and holding the 1 button on your keyboard.

You will be asked to delete your current Voicemail greeting. Click on the ‘Yes’ button that appears on the screen if you want to remove that. You can save your new recorded Voicemail greeting or can use the default recorded option. Wait and hear the new Voicemail greeting message that the instructions speak out. If you want to keep that recording as your Voicemail greeting, then save it. Or you can re-record the message to get a different greeting.
It works similar to the old answering machine, with the only difference is that the old answering machine will store the voice message in the machine itself, while your phone’s voicemail system will store the voicemail in your service provider server. You can also forward the voicemail message to someone else’s mailbox.