Let's start with the basics: are you on AT&T? I may be mistaken but I believe that feature is exclusive in the US to AT&T.
If you are, open your Phone application and there will be a few options at the bottom of the screen. One of them is "voicemail." That should call the voicemail and instruct you on how to set it up.
Okay then, step one is to check with your carrier to see if they support Visual Voicemail. If they do, check with them to make sure that the plan you got includes it. In Canada, for example, it's generally an extra "add-on" to most of the cheaper plans.
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