On the iPhone, go into voicemail and tap "Greeting". Record a few seconds of something and tap stop. Before you tap save, use iFuntastic or SFTP to navigate to /var/root/Library/Voicemail on your iPhone. You'll see a file called "Greeting. amr". This is the audio you just recorded. Delete that file and replace it with your custom message which should then be renamed to "Greeting.amr". Tap "Play" on the iPhone to verify your message works. If it plays, tap "Save" and your custom message will be uploaded to AT&T's servers.
If you choose not to record and transmit a greeting through your phone’s voicemail system, you can utilize a visual voicemail application that has been installed on your phone instead.

When I go to the voicemail icon and click it it automically calls voicemail. I have no other options available.
Open the Phone app . Press and hold “1” to call your voicemail. Enter your PIN and press “#”. Press “*” for the menu. Press “4” to change settings. Press “1” to change your greeting. Follow the recorded instructions. How do I change my voicemail message? From the Home screen, tap the Phone icon . Tap Voicemail then tap Greeting (upper-left). Greeting is located in the top-left corner of screen. Tap Custom to record a greeting. Enabled when a checkmark is present. Tap Record to begin recording the custom greeting message. Tap Stop to end recording then tap Save. Call *86 (*VM) from the handset or the 10-digit mobile number from another phone. Follow the instructions for choosing the language options then press the # key to confirm the choice. When prompted, enter the 4-7digit password then press the # key. When prompted, say the signature (or name) then press the # key. Open your Android’s Phone app. It usually looks like a phone receiver at the bottom of the home screen. Press and hold the 1 key on the keypad. Tap Add number. Tap Service. Tap My carrier. Tap Setup. Tap Voicemail number. Type your mobile phone number and tap OK.